Similar Search Results

A bridge from ruin theory to credit risk

Chen, Cho-jieh; Panjer, Harry - In: Review of quantitative finance and accounting 32 (2009) 4, pp. 373-403

Persistent link: https://www.econbiz.de/10003873808

A reduced-form contingent convertible bond model with deterministic conversion intensity

Cheridito, Patrick; Xu, Zhikai - In: Journal of risk 17 (2014/15) 3, pp. 1-18

Persistent link: https://www.econbiz.de/10011298892

Valuing risky debt : a new model combining structural information with the reduced-form approach

Ballestra, Luca Vincenzo; Pacelli, Graziella - In: Insurance / Mathematics & economics 55 (2014), pp. 261-271

Persistent link: https://www.econbiz.de/10010366168

A reduced-form model for valuing bonds with make-whole call provisions

Park, Min; Clark, Steven P. - In: Applied mathematical finance 22 (2015) 5/6, pp. 499-521

Persistent link: https://www.econbiz.de/10011490621

Valuation of mortgage insurance contracts with counterparty default risk : reduced-form approach

Chang, Chia-Chien - In: Astin bulletin : the journal of the International … 44 (2014) 2, pp. 303-334

Persistent link: https://www.econbiz.de/10010393952

From bid-ask credit default swap quotes to risk-neutral default probabilities using distorted expectations

Michielon, Matteo; Khedher, Asma; Spreij, Peter - In: International journal of theoretical and applied finance 24 (2021) 3, pp. 1-22

Persistent link: https://www.econbiz.de/10012652634

Assessing mortgage servicing rights using a reduced-form model : considering the effects of interest rate risks, prepayment and default risks, and random state variables

Chiang, Shu Ling; Yang, Tyler; Tsai, Ming-shann - In: Journal of housing economics 32 (2016), pp. 29-46

Persistent link: https://www.econbiz.de/10011631690

Estimating liquidity premium of corporate bonds using the spread information in on- and off-the-run Treasury securities

Li, Haitao; Wu, Chunchi; Shi, Jian - In: China finance review international 7 (2017) 2, pp. 134-162

Persistent link: https://www.econbiz.de/10011797776

On modeling economic default time : a reduced-form model approach

Gu, Jia-Wen; Jiang, Bo; Ching, Wai Ki; Zheng, Harry - In: Computational economics 47 (2016) 2, pp. 157-177

Persistent link: https://www.econbiz.de/10011712314

Valuing risky debt: A new model combining structural information with the reduced-form approach

Ballestra, Luca Vincenzo; Pacelli, Graziella - In: Insurance: Mathematics and Economics 55 (2014) C, pp. 261-271

A new model of credit risk is proposed in which the intensity of default is described by an additional stochastic differential equation coupled with the process of the obligor’s asset value. Such an approach allows us to incorporate structural information as well as to capture the effect of...

Persistent link: https://www.econbiz.de/10010753214