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Correlated defaults of UK bank...
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1
On the dependence between default risk and recovery rates in structural models
Fermanian, Jean-David
- In:
Annals of economics and statistics
140
(
2020
),
pp. 45-82
Persistent link: https://www.econbiz.de/10012602600
Saved in:
2
Modelling European sovereign default probabilities with copulas
Szetela, Beata
;
Mentel, Grzegorz
;
Brożyna, Jacek
- In:
Economic research
32
(
2019
)
1,2
,
pp. 1716-1726
Persistent link: https://www.econbiz.de/10012433859
Saved in:
3
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
Saved in:
4
Macro-financial determinants of default probability using copula : a case study of Indonesian banks
Muhajir, Maulana Harris
;
Six, Pierre
;
Ahn, Jung-Hyun
- In:
Bulletin of monetary economics and banking
25
(
2022
)
4
,
pp. 597-622
Persistent link: https://www.econbiz.de/10014265990
Saved in:
5
Stochastische Methoden zur Quantifizierung von versicherungstechnischen Risiken und Kreditrisiken
Maier, Ramona
-
2010
Persistent link: https://www.econbiz.de/10003957402
Saved in:
6
Remarks on composite Bernstein copula and its application to credit risk analysis
Guo, Nan
;
Wang, Fang
;
Yang, Jingping
- In:
Insurance / Mathematics & economics
77
(
2017
),
pp. 38-48
Persistent link: https://www.econbiz.de/10011783884
Saved in:
7
Correlated default processes : a criterion-based copula approach
Das, Sanjiv R.
;
Geng, Gary
- In:
Credit risk : models, derivatives, and management
,
(pp. 347-375)
.
2008
Persistent link: https://www.econbiz.de/10003718543
Saved in:
8
Correlated default processes: a criterion-based copula approach
Das, Sanjiv R.
;
Geng, Gary
- In:
The credit market handbook : advanced modeling issues
,
(pp. 186-218)
.
2006
Persistent link: https://www.econbiz.de/10003338134
Saved in:
9
A multivariate default model with spread and event risk
Mai, Jan-Frederik
;
Olivares, Pablo
;
Schenk, Steffen
; …
- In:
Applied mathematical finance
21
(
2014
)
1/2
,
pp. 51-83
Persistent link: https://www.econbiz.de/10010351857
Saved in:
10
Bilateral counterparty risk valuation of CDS contracts with simultaneous defaults
Teng, Long
;
Ehrhardt, Matthias
;
Günther, Michael
- In:
International journal of theoretical and applied finance
16
(
2013
)
7
,
pp. 1-20
Persistent link: https://www.econbiz.de/10010233305
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