Search Results - subject:"defaultable bonds"

Contagion and default risks in derivative pricing : a Hawkes-based model

Agana, Francis; Maré, Eben - In: Risks : open access journal 14 (2026) 3, pp. 1-27

Modern financial systems do not exist in isolation but form part of a complex global network of interconnected financial systems. This globalization of financial systems significantly increases the risk of contagion in financial markets, impacting asset prices and other important economic...

Persistent link: https://www.econbiz.de/10015638968

Pricing defaultable bonds under Hawkes jump-diffusion processes

Chen, Li; Ma, Yong; Xiao, Weilin - In: Finance research letters 47 (2022) 2, pp. 1-8

Persistent link: https://www.econbiz.de/10013553778

Pricing climate-related risks in the bond market

Agliardi, Elettra; Agliardi, Rossella - In: Journal of financial stability 54 (2021), pp. 1-18

Persistent link: https://www.econbiz.de/10012794081

Pricing Derivatives using the Asymptotic Expansion Approach: Credit Migration Models with Stochastic Credit Spreads

Muroi, Yoshifumi; Takino, E. - In: Asia-Pacific Financial Markets 18 (2011) 4, pp. 345-372

Persistent link: https://www.econbiz.de/10009327792

Reverse convertible debt under credit risk

Agliardi, Rossella - In: International journal of financial engineering 3 (2016) 1, pp. 1-13

Persistent link: https://www.econbiz.de/10011532759

Inferring default correlation from equity return correlation

Liu, Sheen; Qi, Howard; Shi, Jian; Xie, Yan Alice - In: European financial management : the journal of the … 21 (2015) 2, pp. 333-359

Persistent link: https://www.econbiz.de/10010516668

Beyond cash-additive risk measures : when changing the numéraire fails

Farkas, Walter; Koch Medina, Pablo; Munari, Cosimo - In: Finance and stochastics 18 (2014) 1, pp. 145-173

Persistent link: https://www.econbiz.de/10010235455

On reduced-form intensity-based model with "trigger" events

Gu, Jia-wen; Ching, Wai Ki; Siu, Tak Kuen; Zheng, Henry - In: Journal of the Operational Research Society : OR 65 (2014) 3, pp. 331-339

Persistent link: https://www.econbiz.de/10010251709

American options and callable bonds under stochastic interest rates and endogenous bankruptcy

Nunes, Joaõ Pedro Vidal - In: Review of derivatives research 14 (2011) 3, pp. 283-332

Persistent link: https://www.econbiz.de/10009349987

Beyond cash-additive risk measures: when changing the numéraire fails

Farkas, Walter; Koch-Medina, Pablo; Munari, Cosimo - In: Finance and Stochastics 18 (2014) 1, pp. 145-173

an alternative to cash additivity to deal with defaultable bonds. For important examples, we provide characterizations of …

Persistent link: https://www.econbiz.de/10010997040