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Measuring default risk for a portfolio of equities
Rodrigues, Matheus Pimentel; Maialy, Andre Cury - In: International journal of theoretical and applied finance 22 (2019) 1, pp. 1-21
Persistent link: https://www.econbiz.de/10012012883
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A liquidation risk adjustment for value at risk and expected shortfall
Wagalath, Lakshithe; Zubelli, Jorge P. - In: International journal of theoretical and applied finance 21 (2018) 3, pp. 1-21
Persistent link: https://www.econbiz.de/10011889543
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Extremal dependence for bilateral credit valuation adjustments
Scherer, Matthias; Schulz, Thorsten - In: International journal of theoretical and applied finance 19 (2016) 7, pp. 1-21
Persistent link: https://www.econbiz.de/10011568865
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Contagion effects and collateralized credit value adjustments for credit default swaps
Frey, Rüdiger; Rösler, Lars - In: International journal of theoretical and applied finance 17 (2014) 7, pp. 1-29
Persistent link: https://www.econbiz.de/10010498864
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Special section: risk management and reporting in light of the recent financial crisis : editorial
Iatridis, George; Sougiannis, Theodore; Travlos, … - In: International review of financial analysis 30 (2013), pp. 241
Persistent link: https://www.econbiz.de/10010461554
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Special section: Risk management and reporting in light of the recent financial crisis
Iatridis, George (contributor) - In: International review of financial analysis 30 (2013), pp. 241-419
Persistent link: https://www.econbiz.de/10010461555
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A generalized contagion process with an application to credit risk
Dassios, Angelos; Zhao, Hongbiao - In: International journal of theoretical and applied finance 20 (2017) 1, pp. 1-33
Persistent link: https://www.econbiz.de/10011686792
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Wrong-way risk CVA models with analytical EPE profiles under Gaussian exposure dynamics
Vrins, Frédéric - In: International journal of theoretical and applied finance 20 (2017) 7, pp. 1-35
Persistent link: https://www.econbiz.de/10011763941
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A dynamic model of central counterparty risk
Bielecki, Tomasz R.; Cialenco, Igor; Feng, Shibi - In: International journal of theoretical and applied finance 21 (2018) 8, pp. 1-34
Persistent link: https://www.econbiz.de/10011970904
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Bilateral counterparty risk valuation of CDS contracts with simultaneous defaults
Teng, Long; Ehrhardt, Matthias; Günther, Michael - In: International journal of theoretical and applied finance 16 (2013) 7, pp. 1-20
Persistent link: https://www.econbiz.de/10010233305