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Dependence of defaults and recoveries in structural credit risk models
Schäfer, Rudi; Koivusalo, Alexander F. R. - In: Economic modelling 30 (2013), pp. 1-9
Persistent link: https://www.econbiz.de/10009702275
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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
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Provisioning against borrowers default risk
Nichil, Geoffrey; Vallois, Pierre - In: Insurance / Mathematics & economics 66 (2016), pp. 29-43
Persistent link: https://www.econbiz.de/10011442670
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Market microstructure effects on firm default risk evaluation
Barsotti, Flavia; Sanfelici, Simona - In: Econometrics : open access journal 4 (2016) 3, pp. 1-31
Default probability is a fundamental variable determining the credit worthiness of a firm and equity volatility … choosing different non parametric equity volatility estimators on default probability evaluation, when market microstructure … effects of different non-parametric estimation techniques on default probability evaluation. The impact of the non …
Persistent link: https://www.econbiz.de/10011506497
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Risk analysis probability of default : a stochastic simulation model
Montesi, Giuseppe; Papiro, Giovanni - In: The journal of credit risk : published quarterly by … 10 (2014) 3, pp. 29-86
Persistent link: https://www.econbiz.de/10010426467
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Modelling default contagion using multivariate phase-type distributions
Herbertsson, Alexander - In: Review of derivatives research 14 (2011) 1, pp. 1-36
Persistent link: https://www.econbiz.de/10009272496
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Correlated default with incomplete information
Giesecke, Kay - In: Journal of banking & finance 28 (2004) 7, pp. 1521-1545
Persistent link: https://www.econbiz.de/10002100479
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A comparison of stochastic default rate models
Finger, Christopher C. - In: Credit risk models and management, (pp. 599-627). 2004
Persistent link: https://www.econbiz.de/10002433503
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Correlated default with incomplete information
Giesecke, Kay - 2002
Persistent link: https://www.econbiz.de/10001684707
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A Markov chain model with stochastic default rate for valuation of credit spreads
Kodera, Eiji - In: The journal of derivatives : the official publication … 8 (2001) 4, pp. 8-18
Persistent link: https://www.econbiz.de/10001613575