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Credit risk modelling and credit derivatives
Schönbucher, Philipp Johannes - 2000
Persistent link: https://www.econbiz.de/10001449548
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A Libor market model with default risk
Schönbucher, Philipp J. - 2001
Persistent link: https://www.econbiz.de/10001598736
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A Libor market model with default risk
Schönbucher, Philipp J. - 2000 - This version December 2000
In this paper a new credit risk model for credit derivatives is presented. The model is based upon the Libor market modelling framework for default-free interest rates. We model effective default-free forward rates and effective forward credit spreads as lognormal diffusion processes, and...
Persistent link: https://www.econbiz.de/10011539796
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Credit risk : modeling, valuation and hedging
Bielecki, Tomasz R.; Rutkowski, Marek - 2002
Persistent link: https://www.econbiz.de/10001621020
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Counterparty credit exposures for interest rate derivatives using the stochastic grid bundling method
Karlsson, Patrik; Jain, Shashi; Oosterlee, Cornelis … - In: Applied mathematical finance 23 (2016) 3/4, pp. 175-196
Persistent link: https://www.econbiz.de/10011704227
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Spread term structure and default correlation
Gagliardini, Patrick; Gouriéroux, Christian - In: Annals of economics and statistics 123/124 (2016), pp. 175-223
Persistent link: https://www.econbiz.de/10011592744
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Performance and determinants of the Merton structural model : evidence from hedging coefficients
Barsotti, Flavia; Del Viva, Luca - In: Journal of banking & finance 58 (2015), pp. 95-111
Persistent link: https://www.econbiz.de/10011543912
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CDO term structure modelling with Lévy processes and the relation to market models
Schmidt, Thorsten; Zabczyk, Jerzy - In: International journal of theoretical and applied finance 15 (2012) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10009562136
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Valuation of a credit default swap: the stable non-Gaussian versus the Gaussian approach
D'Souza, Dylan; Amir-Atefi, Keyvan; Racheva-Jotova, Borjana - In: Credit risk : measurement, evaluation and management ; …, (pp. 49-84). 2003
Persistent link: https://www.econbiz.de/10002001435
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Capital market finance : an introduction to primitive assets, derivatives, portfolio management and risk
Poncet, Patrice; Portait, Roland; Toder, Igor - 2022
Persistent link: https://www.econbiz.de/10012628654