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Loan interest rates under risk-based capital requirements : the impact of banking market structure
Drumond, Inês; Jorge, José - In: Economic modelling 32 (2013), pp. 602-607
Persistent link: https://www.econbiz.de/10009762012
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Dependence of defaults and recoveries in structural credit risk models
Schäfer, Rudi; Koivusalo, Alexander F. R. - In: Economic modelling 30 (2013), pp. 1-9
Persistent link: https://www.econbiz.de/10009702275
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Mixed copula model with stochastic correlation for CDO pricing
Chen, Jianli; Liu, Zhen; Li, Shenghong - In: Economic modelling 40 (2014), pp. 167-174
Persistent link: https://www.econbiz.de/10010425701
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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
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Unilateral CVA for CDS in a contagion model with stochastic pre-intensity and interest
Bao, Qunfang; Chen, Si; Li, Shenghong - In: Economic modelling 29 (2012) 2, pp. 471-477
Persistent link: https://www.econbiz.de/10009536792
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Macroeconomic determinants of the credit risk in the banking system : the case of the GIPSI
Castro, Vítor - In: Economic modelling 31 (2013), pp. 672-683
Persistent link: https://www.econbiz.de/10009731403
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Dynamic risk management of the lending rate policy of an interacted portfolio of loans via an investment strategy into a discrete stochastic framework
Pantelous, Athanasios A. - In: Economic modelling 25 (2008) 4, pp. 658-675
Persistent link: https://www.econbiz.de/10003791242
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Loan default correlation using an Archimedean copula approach : a case for recalibration
Fenech, Jean Pierre; Vosgha, Hamed; Shafik, Salwa - In: Economic modelling 47 (2015), pp. 340-354
Persistent link: https://www.econbiz.de/10011439450
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Modeling loss given default with stochastic collateral
Frontczak, Robert; Rostek, Stefan - In: Economic modelling 44 (2015), pp. 162-170
Persistent link: https://www.econbiz.de/10011326261
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Utility indifference valuation of corporate bond with credit rating migration by structure approach
Liang, Jin; Zhao, Yuejuan; Zhang, Xudan - In: Economic modelling 54 (2016), pp. 339-346
Persistent link: https://www.econbiz.de/10011642188