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Liquidity tail risk and credit default swap spreads
Irresberger, Felix; Weiß, Gregor; Gabrysch, Janet; … - In: European journal of operational research : EJOR 269 (2018) 3, pp. 1137-1153
Persistent link: https://www.econbiz.de/10011866884
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Enhancing credit default swap valuation with meshfree methods
Guarin, Alexander; Liu, Xiaoquan; Wing Lon Ng - In: European journal of operational research : EJOR 214 (2011) 3, pp. 805-813
Persistent link: https://www.econbiz.de/10009316165
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Trade credit contracting under asymmetric credit default risk : screening, checking or insurance
Wang, Kai; Zhao, Ruiqing; Peng, Jin - In: European journal of operational research : EJOR 266 (2018) 2, pp. 554-568
Persistent link: https://www.econbiz.de/10011811811
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CDS pricing with fractional Hawkes processes
Ketelbuters, John-John; Hainaut, Donatien - In: European journal of operational research : EJOR 297 (2022) 3, pp. 1139-1150
Persistent link: https://www.econbiz.de/10013263023
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Pricing derivatives with counterparty risk and collateralization : a fixed point approach
Kim, Jinbeom; Leung, Tim - In: European journal of operational research : EJOR 249 (2016) 2, pp. 525-539
Persistent link: https://www.econbiz.de/10011436733
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Surrender contagion in life insurance
Cheng, Chunli; Hilpert, Christian; Miri Lavasani, Aidin; … - In: European journal of operational research : EJOR 305 (2023) 3, pp. 1465-1479
Persistent link: https://www.econbiz.de/10013499052
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Copula sensitivity analysis for portfolio credit derivatives
Lei, Lei; Peng, Yijie; Fu, Michael; Hu, Jian-Qiang - In: European journal of operational research : EJOR 308 (2023) 1, pp. 455-466
Persistent link: https://www.econbiz.de/10014283065
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Corporate credit risk counter-cyclical interdependence : a systematic analysis of cross-border and cross-sector correlation dynamics
Yfanti, Stavroula; Karanasos, Menelaos; Zopounidis, … - In: European journal of operational research : EJOR 304 (2023) 2, pp. 813-831
Persistent link: https://www.econbiz.de/10013534569
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Robust and sparse banking network estimation
Torri, Gabriele; Giacometti, Rosella; Paterlini, Sandra - In: European journal of operational research : EJOR 270 (2018) 1, pp. 51-65
Persistent link: https://www.econbiz.de/10011868914
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Credit spread approximation and improvement using random forest regression
Mercadier, Mathieu; Lardy, Jean-Pierre - In: European journal of operational research : EJOR 277 (2019) 1, pp. 351-365
Persistent link: https://www.econbiz.de/10012015039