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Momentum profit fluctuations in seasonal conditions due to default probability
Lee, Nicholas Rueilin; Liu, Jung Fang; Lin, Yih-Bey; … - In: The empirical economics letters : a monthly … 13 (2014) 6, pp. 715-722
Persistent link: https://www.econbiz.de/10010520042
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Rating migration and bond valuation : a historical interest rate and default probability term structures
Barnard, Brian - In: Expert journal of finance 6 (2018) 1, pp. 16-39
Persistent link: https://www.econbiz.de/10012053529
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Rating migration and bond valuation : decomposing rating migration matrices from market data via default probability term structures
Barnard, Brian - In: Expert journal of finance 5 (2017), pp. 49-72
Persistent link: https://www.econbiz.de/10011749658
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Momentum and default risk : some results using the jump component
González-Urteaga, Ana; Muga, Luis; Santamaría … - In: International review of financial analysis 40 (2015), pp. 185-193
Persistent link: https://www.econbiz.de/10011475738
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A structural approach to default modelling with pure jump processes
Aguilar, Jean-Philippe; Pesci, Nicolas; James, Victor - In: Applied mathematical finance 28 (2021) 1, pp. 48-78
Persistent link: https://www.econbiz.de/10012625981
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Default probability estimation via pair copula constructions
Dalla Valle, Luciana; De Giuli, Maria Elena; Tarantola, … - In: European journal of operational research : EJOR 249 (2016) 1, pp. 298-311
Persistent link: https://www.econbiz.de/10011435851
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The pricing of credit derivatives and estimation of default probability
Zhou, Hanghang; Zhao, Dianli - In: Journal of mathematical finance 5 (2015) 3, pp. 243-248
Persistent link: https://www.econbiz.de/10011438503
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Transition probability matrix methodology for incremental risk charge
Yavin, Tzahi; Wang, Eugene; Zhang, Hu; Clayton, Michael A. - In: Journal of financial engineering 1 (2014) 1, pp. 1-47
Persistent link: https://www.econbiz.de/10010508091
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Validation of default probability models : a stress testing approach
Tsukahara, Fábio Yasuhiro; Kimura, Herbert; Sobreiro, … - In: International review of financial analysis 47 (2016), pp. 70-85
Persistent link: https://www.econbiz.de/10011624054
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Chapter 20. Credit Derivatives
Hull, John; White, Alan - 2013
This chapter explains how the main types of credit derivatives work and how they are valued. Central to the valuation of credit derivatives is an estimation of the probability that reference entities will default. The chapter discusses both the risk-neutral probabilities of default implied from...
Persistent link: https://www.econbiz.de/10014025358