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Modeling default dependence with threshold models
Overbeck, Ludger; Schmidt, Wolfgang - In: The journal of derivatives : the official publication … 12 (2004) 4, pp. 10-19
Persistent link: https://www.econbiz.de/10003010718
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Defaultable security valuation and model risk
Akgun, Aydin - 2001
Persistent link: https://www.econbiz.de/10001592004
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Impact of correlated default risk on credit portfolios
Das, Sanjiv R.; Fong, H. Gifford; Geng, Gary - In: The journal of fixed income 11 (2001) 3, pp. 9-19
Persistent link: https://www.econbiz.de/10001706056
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The minimum variance hedge and the bankruptcy risk of the firm
Hahnenstein, Lutz; Röder, Klaus - In: Review of financial economics : RFE 12 (2003) 3, pp. 315-326
Persistent link: https://www.econbiz.de/10001782081
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The valuation of default-triggered credit derivatives
Chen, Ren-Raw; Sopranzetti, Ben J. - In: Journal of financial and quantitative analysis : JFQA 38 (2003) 2, pp. 359-382
Persistent link: https://www.econbiz.de/10001766873
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Price limits, margin requirements, and default risk
Chou, Pin-huang; Lin, Mei-Chen; Yu, Min-Teh - In: The journal of futures markets 20 (2000) 6, pp. 573-602
Persistent link: https://www.econbiz.de/10001509977
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On default correlation : a Copula function approach
Li, David - In: The journal of fixed income 9 (2000) 4, pp. 43-54
Persistent link: https://www.econbiz.de/10001495250
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A Three-factor defaultable term structure model
Schmid, Bernd; Zagst, Rudi - In: The journal of fixed income 10 (2000) 2, pp. 63-79
Persistent link: https://www.econbiz.de/10001530347
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Credit events and the valuation of credit derivatives of basket type
Kijima, Masaaki; Muromachi, Yukio - In: Review of derivatives research 4 (2000) 1, pp. 55-79
Persistent link: https://www.econbiz.de/10001521987