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Chapter 20. Credit Derivatives

Hull, John; White, Alan - 2013

of credit derivatives is an estimation of the probability that reference entities will default. The chapter discusses …

Persistent link: https://www.econbiz.de/10014025358

Credit risk frontiers : subprime crisis, pricing and hedging, CVA, MBS, ratings, and liquidity

Bielecki, Tomasz R. (ed.); Brigo, Damiano (contributor); … - 2011

pt. 1. Expert views -- pt. 2. Credit derivatives : methods -- pt. 3. Credit derivatives : products -- pt. 4. Counterparty risk pricing and credit valuation adjustment -- pt. 5. Equity to credit -- pt. 6. Miscellanea : liquidity, ratings, risk contributions, and simulation.

Persistent link: https://www.econbiz.de/10013331595

The sovereign credit default swap market : is there anything to be afraid of? : a comparison of selected Central and Western European economies

Kliber, Agata - In: Argumenta oeconomica 43 (2019) 2, pp. 137-167

Persistent link: https://www.econbiz.de/10012284881

Kapitalmarktmodelle und erwartete Renditen am deutschen Aktienmarkt

Schneider, Sebastian - 2001

Persistent link: https://www.econbiz.de/10001530439

Hedging of a credit default swaption in the CIR default intensity model

Bielecki, Tomasz R.; Jeanblanc, Monique; Rutkowski, Marek - In: Finance and stochastics 15 (2011) 3, pp. 541-572

Persistent link: https://www.econbiz.de/10009303111

Risikomanagement und kapitalmarktorientierte Finanzierung : Festschrift zum 65. Geburtstag von Bernd Rudolph

Schäfer, Klaus (ed.); Rudolph, Bernd (honouree); … - 2009

Persistent link: https://www.econbiz.de/10003836147

Dynamics of markets : the new financial economics

McCauley, Joseph L. - 2009 - 2. ed.

Persistent link: https://www.econbiz.de/10003825557

Worst-case portfolio optimization in a market with bubbles

Belak, Christoph; Christensen, Sören; Menkens, Olaf - In: International journal of theoretical and applied finance 19 (2016) 2, pp. 1-36

Persistent link: https://www.econbiz.de/10011454368

An engine, not a camera : how financial models shape markets

MacKenzie, Donald A. - 2006

Persistent link: https://www.econbiz.de/10003039616

A model of financial fragility

Lagunoff, Roger D.; Schreft, Stacey L. - In: Journal of economic theory 99 (2001) 1/2, pp. 220-264

Persistent link: https://www.econbiz.de/10001604684

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