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Estimation of default risk through Merton's distance to default model : an empirical study of four Indian Public Sector banks
Bendigeri, Raghavendra S., (2024)
Recovering portfolio default intensities implied by CDO quotes
Cont, Rama, (2013)
Modeling of contagion effects and their influence to the pricing and hedging of basket credit derivatives
Wang, Qian, (2006)
An option theoretic model for ultimate loss-given-default with systematic recovery risk and stochastic returns on defaulted debt
Jacobs, Michael <Jr.>, (2011)
Stress testing credtit risk portfolios
Jacobs, Michael <Jr.>, (2013)
A bivariate generalized autoregressive conditonal heteroscedasticity-in-mean study of the relationship between return variability and trading volume in international futures markets
Jacobs, Michael <Jr.>, (1998)