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Advanced credit risk analysis : financial approaches and mathematical models to assess, price and manage credit risk

Cossin, Didier; Pirotte, Hugues - 2001

Persistent link: https://www.econbiz.de/10004731843

How Well do Classical Credit Risk Pricing Models Fit Swap Transaction Data?

Cossin, Didier; Pirotte, Hugues - In: European financial management : the journal of the … 4 (1998) 1, pp. 65-78

Persistent link: https://www.econbiz.de/10005971570

Residual value risk in the leasing industry: A European case

Pirotte, Hugues; Vaessen, Céline - In: The European journal of finance 14 (2008) 2, pp. 157

Persistent link: https://www.econbiz.de/10007912570

HEDGE FUNDS - DOES MANAGER OFFSHORE EXPERIENCE COUNT IN THE ALTERNATIVE UCITS UNIVERSE?

Dewaele, Benoît; Markov, Iliya; Pirotte, Hugues; … - In: The journal of alternative investments 16 (2013) 1, pp. 72-85

Persistent link: https://www.econbiz.de/10010155391

Swap credit risk: An empirical investigation on transaction data

Cossin, Didier; Pirotte, Hugues - In: Journal of banking & finance 21 (1997) 10, pp. 1351-1374

Persistent link: https://www.econbiz.de/10005903827

Residual value risk in the leasing industry: A European case

Pirotte, Hugues; Vaessen, Céline - In: The European journal of finance 14 (2008) 1-2, pp. 157

Persistent link: https://www.econbiz.de/10007990723

Market liquidity as dynamic factors

Hallin, Marc; Mathias, Charles; Pirotte, Hugues; … - In: Journal of econometrics 163 (2011) 1, pp. 42-51

Persistent link: https://www.econbiz.de/10009017644

Beyond mean-variance : assessing hedge fund performance in a non-parametric world

Hassouni, Afrae; Pirotte, Hugues - In: Financial markets and portfolio management 36 (2022) 4, pp. 473-488

Persistent link: https://www.econbiz.de/10013431703

Swap credit risk: An empirical investigation on transaction data

Cossin, Didier; Pirotte, Hugues - In: Journal of Banking & Finance 21 (1997) 10, pp. 1351-1373

Persistent link: https://www.econbiz.de/10005194495

A Structural Model of the Term Structure of Credit Spreads with Stochastic Recovery and Contractual Design

Pirotte, Hugues - Centre Emile Bernheim, Solvay Brussels School of … - 1999

This paper presents an alternative modelling of the term structure of the credit spreads under a structural approach. We rely upon the barrier option pricing frameworkto price a corporate zero-coupon bond with a stochastic present value of the recovery consistent with the evidence on the...

Persistent link: https://www.econbiz.de/10005738698