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Bilateral credit valuation adjustment for large credit derivatives portfolios

Bo, Lijun; Capponi, Agostino - In: Finance and stochastics 18 (2014) 2, pp. 431-482

Persistent link: https://www.econbiz.de/10010340674

Bilateral counterparty risk valuation for credit default swap in a contagion model using Markov chain

Dong, Yinghui; Wang, Guojing - In: Economic modelling 40 (2014), pp. 91-100

Persistent link: https://www.econbiz.de/10010425718

Credit derivative evaluation and CVA under the benchmark approach

Baldeaux, Jan; Platen, Eckhard - In: Asia-Pacific financial markets 22 (2015) 3, pp. 305-331

Persistent link: https://www.econbiz.de/10011524811

Market and counterparty credit risk : selected computational and managerial aspects

Schwake, Daniel - 2016

Persistent link: https://www.econbiz.de/10012384955

Wrong-way risk in credit valuation adjustment of credit default swap with copulas

Adachi, Tetsuya; Sueshige, Takumi; Yoshiba, Toshinao - 2019

Persistent link: https://www.econbiz.de/10013448467

Business cycle and credit risk modeling with jump risks

Jang, Bong-Gyu; Rhee, Yuna; Yoon, Ji Hee - In: Journal of empirical finance 39 (2016), pp. 15-36

Persistent link: https://www.econbiz.de/10011663259

Are CDS spreads sensitive to the term structure of the yield curve? : a sector-wise analysis under various market conditions

Aman, Asia - In: Journal of risk and financial management : JRFM 12 (2019) 4/158, pp. 1-13

This study examines the impact of changes in the yield curve factors on the Credit Default Swap (CDS) spreads of the U.S. industrial sectors. Stock returns and the crude oil-based volatility index are used in a quantile regression framework to test the validity of Merton’s model. The results...

Persistent link: https://www.econbiz.de/10012172992

The empirical determinants of credit default swap spreads : a quantile regression approach

Pires, Pedro; Pereira, João Pedro; Martins, Luís Filipe - In: European financial management : the journal of the … 21 (2015) 3, pp. 556-589

Persistent link: https://www.econbiz.de/10011317990

Price discovery in the markets for credit risk : a Markov switching approach

Dimpfl, Thomas; Peter, Franziska Julia - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 20 (2016) 3, pp. 233-249

Persistent link: https://www.econbiz.de/10011507523

Dong, Yinghui; Wang, Guojing; Yuen, Kam Chuen - In: IMA journal of management mathematics 29 (2018) 4, pp. 351-375

Persistent link: https://www.econbiz.de/10011974883

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