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Modeling of contagion effects and their influence to the pricing and hedging of basket credit derivatives
Wang, Qian - 2006 - 1. Aufl.
Persistent link: https://www.econbiz.de/10003320531
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The stochastic intensity SSRD model implied volatility patterns for credit default swap options and the impact of correlation
Brigo, Damiano; Cousot, Laurent - In: International journal of theoretical and applied finance 9 (2006) 3, pp. 315-339
Persistent link: https://www.econbiz.de/10003344290
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Credit derivatives and sovereing debt crises
Goderis, Benedikt; Wagner, Wolf - 2005
Persistent link: https://www.econbiz.de/10003376383
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Credit default swap valuation with counterparty risk
Seng Yuen Leung; Kwok, Yue-Kuen - In: The Kyoto economic review 74 (2005) 1, pp. 25-45
Persistent link: https://www.econbiz.de/10003379594
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Modelling credit risk in synthetic CDO squared transactions
Gilkes, Kai - In: Securitisation of derivatives and alternative asset …, (pp. 23-42). 2005
Persistent link: https://www.econbiz.de/10003010327
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Equity default swaps and the securitisation of risk
Logie, Michael J.; Castagnino, John-Peter - In: Securitisation of derivatives and alternative asset …, (pp. 89-115). 2005
Persistent link: https://www.econbiz.de/10003010384
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The effect of credit ratings on credit default swap spreads and credit spreads
Daniels, Kenneth N.; Jensen, Malene Shin - In: The journal of fixed income 15 (2005) 3, pp. 16-33
Persistent link: https://www.econbiz.de/10003303931
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Credit derivatives
Kiff, John; Morrow, Ron - In: Financial strategy, (pp. 302-314). 2006
Persistent link: https://www.econbiz.de/10003287989
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Asset dynamics estimation and its impact on CDS pricing
François, Pascal; Hübner, Georges - In: The credit derivatives handbook : global perspectives, …, (pp. 121-141). 2008
Persistent link: https://www.econbiz.de/10003748411
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Default contagion in large homogeneous portfolios
Herbertsson, Alexander - In: The credit derivatives handbook : global perspectives, …, (pp. 303-334). 2008
Persistent link: https://www.econbiz.de/10003748427