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Andersson, Andreas; Vanini, Paolo - In: The journal of credit risk : published quarterly by … 6 (2010/11) 1, pp. 3-30

Persistent link: https://www.econbiz.de/10003965004

Counterparty risk for credit default swaps : impact of spread volatility and default correlation

Brigo, Damiano; Chourdakis, Kyriakos - In: International journal of theoretical and applied finance 12 (2009) 7, pp. 1007-1026

Persistent link: https://www.econbiz.de/10003928780

Modeling the dependence structure between default risk premium, equity return volatility and the jump risk : evidence from a financial crisis

Naifar, Nader - In: Economic modelling 29 (2012) 2, pp. 119-131

Persistent link: https://www.econbiz.de/10009536052

The cost of counterparty risk and collateralization in longevity swaps

Biffis, Enrico; Blake, David; Pitotti, Lorenzo; Sun, Ariel - 2011

Persistent link: https://www.econbiz.de/10009536147

Dynamic asset allocation with credit risk

Shibo, Bian; Zhang, Xiaoyang - In: Quantitative financial risk management, (pp. 111-121). 2011

Persistent link: https://www.econbiz.de/10009301436

Regulation, credit risk transfer with CDS, and bank lending

Pausch, Thilo; Welzel, Peter - 2012

We integrate Basel II (and III) regulations into the industrial organization approach to banking and analyze the interaction between capital adequacy regulation and credit risk transfer with credit default swaps (CDS) including its effect on lending behavior and risk sensitivity of a...