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Structural estimation of counterparty credit risk under recovery risk

Castellano, Rosella; Corallo, Vincenzo; Morelli, Giacomo - In: Journal of banking & finance 140 (2022), pp. 1-9

Persistent link: https://www.econbiz.de/10013463128

Pricing basket default swaps using quasi-analytic techniques

Umeorah, Nneka; Mashele, Phillip; Ehrhardt, Matthias - In: Decisions in economics and finance : a journal of … 44 (2021) 1, pp. 241-267

Persistent link: https://www.econbiz.de/10012587841

Introducing an analytical solution and an improved one-factor gaussian copula model for the pricing of heterogeneous CDOs

Gao, Xin; Wu, Binlin; Schäfer, Tobias - In: International journal of financial engineering 4 (2017) 2/3, pp. 1-17

Persistent link: https://www.econbiz.de/10011778286

Fast Computation of Securities Financing Loss Distribution in Joint Lognormal Credit and Jump Diffusion Asset Model

Lou, Wujiang - 2021

decomposition can produce accurate repo and securities lending haircuts. A fast numerical approximation to the loss distribution is …

Persistent link: https://www.econbiz.de/10013220302

Investigating the performance of non-gaussian stochastic intensity models in the calibration of credit default swap spreads

Bianchi, Michele Leonardo; Fabozzi, Frank J. - In: Computational economics 46 (2015) 2, pp. 243-273

Persistent link: https://www.econbiz.de/10011478467

Pro-cyclicality of risk measurements - empirical quantification and theoretical confirmation

Bräutigam, Marcel - 2020

Persistent link: https://www.econbiz.de/10012488824

Dynamic factor copula models with estimated cluster assignments

Oh, Dong Hwan; Patton, Andrew J. - 2021 - This draft: 21 January 2021

Persistent link: https://www.econbiz.de/10012608826

Bivariate copula trees for gross loss aggregation with positively dependent risks

Wójcik, Rafał; Liu, Charlie Wusuo - In: Risks : open access journal 10 (2022) 8, pp. 1-24

We propose several numerical algorithms to compute the distribution of gross loss in a positively dependent catastrophe … is a measure of positive dependence through variance of the aggregate risk. During gross loss accumulation, the marginals …

Persistent link: https://www.econbiz.de/10013368496

Commodity spread option pricing and the economic fundamentals of crack spreads

Kolpakov, Ilya - 2014

Persistent link: https://www.econbiz.de/10010516044

The impact of PD-LGD correlation on expected loss and economic capital

Van Vuuren, Gary; De Jongh, Riaan; Verster, Tanja - In: International business and economics research journal 16 (2017) 3, pp. 157-170

Persistent link: https://www.econbiz.de/10011965066

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