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The effect of foreign currency hedging on the probability of financial distress

Magee, Shane - In: Accounting and finance : journal of the Accounting … 53 (2013) 4, pp. 1107-1127

Persistent link: https://www.econbiz.de/10010240259

Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps

Brigo, Damiano; Capponi, Agostino; Pallavicini, Andrea - In: Mathematical finance : an international journal of … 24 (2014) 1, pp. 125-146

Persistent link: https://www.econbiz.de/10010256178

Default risk of money-market fund portfolios

Bansal, Matulya - In: The journal of credit risk : published quarterly by … 11 (2015) 4, pp. 43-71

Persistent link: https://www.econbiz.de/10011442549

Credit risk and contagion via self-exciting default intensity

Elliott, Robert J.; Shen, Jia - In: Annals of finance 11 (2015) 3/4, pp. 319-344

Persistent link: https://www.econbiz.de/10011459064

Contingent credit default swaps: accurate and approximate pricing

Koziol, Christian; Schön, Thomas - In: The journal of credit risk : published quarterly by … 12 (2016) 1, pp. 75-95

Persistent link: https://www.econbiz.de/10011566278

Koziol, Christian; Koziol, Philipp; Schön, Thomas - 2014

Correlated defaults and systemic risk are clearly priced in credit portfolio securities such as CDOs or index CDSs. In this paper we study an extensive CDX data set for evidence whether correlated defaults are also present in the underlying CDS market. We develop a cash flow based top-down...