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~isPartOf:"International journal of theoretical and applied finance"
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Credit risk
108
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108
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49
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Brigo, Damiano
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International journal of theoretical and applied finance
The journal of derivatives : the official publication of the International Association of Financial Engineers
29
Journal of banking & finance
26
NBER working paper series
24
The journal of fixed income
24
Applied mathematical finance
23
The journal of financial crises
22
International review of financial analysis
21
The journal of futures markets
20
Working paper / National Bureau of Economic Research, Inc.
19
Mathematical finance : an international journal of mathematics, statistics and financial theory
18
Journal of financial economics
17
NBER Working Paper
17
The journal of computational finance
17
Journal of international financial markets, institutions & money
15
Review of derivatives research
15
Finance research letters
14
International review of economics & finance : IREF
14
Working Paper
14
European journal of operational research : EJOR
13
Finance and stochastics
13
Research paper series / Swiss Finance Institute
13
Staff working papers / Bank of England
13
The journal of finance : the journal of the American Finance Association
13
Management science : journal of the Institute for Operations Research and the Management Sciences
12
Journal of financial and quantitative analysis : JFQA
11
Journal of international money and finance
11
Journal of securities operations & custody
11
Applied economics
10
Discussion papers / CEPR
10
European financial management : the journal of the European Financial Management Association
10
The European journal of finance
10
The North American journal of economics and finance : a journal of financial economics studies
10
The review of financial studies
10
Discussion paper / Centre for Economic Policy Research
9
Economics letters
9
International journal of financial engineering
9
Journal of financial services research : JFSR
9
Swiss Finance Institute Research Paper
9
The journal of investment compliance
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ECONIS (ZBW)
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1
Arbitrage-free valuation of bilateral counterparty risk for interest-rate products : impact of volatilities and correlations
Brigo, Damiano
;
Pallavicini, Andrea
;
Papatheodorou, …
- In:
International journal of theoretical and applied finance
14
(
2011
)
6
,
pp. 773-802
Persistent link: https://www.econbiz.de/10009381011
Saved in:
2
Counterparty risk and funding : the four wings of the TVA
Crépey, Stéphane
;
Gerboud, Rémi
;
Grbac, Zorana
; …
- In:
International journal of theoretical and applied finance
16
(
2013
)
2
,
pp. 1-31
Persistent link: https://www.econbiz.de/10009748728
Saved in:
3
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
Saved in:
4
A spread-return mean-reverting model for credit spread dynamics
O'Donoghue, Brendan
;
Peacock, Matthew
;
Lee, Jacky
; …
- In:
International journal of theoretical and applied finance
17
(
2014
)
3
,
pp. 1-14
Persistent link: https://www.econbiz.de/10010364761
Saved in:
5
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
Saved in:
6
Modelling the bid and ask prices of illiquid CDSs
Walker, Michael B.
- In:
International journal of theoretical and applied finance
15
(
2012
)
6
,
pp. 1-37
Persistent link: https://www.econbiz.de/10009672590
Saved in:
7
An implied volatility model determined by credit default swaps
Heider, Pascal
- In:
International journal of theoretical and applied finance
15
(
2012
)
7
,
pp. 1-21
Persistent link: https://www.econbiz.de/10009685890
Saved in:
8
From bid-ask credit default
swap
quotes to risk-neutral default probabilities using distorted expectations
Michielon, Matteo
;
Khedher, Asma
;
Spreij, Peter
- In:
International journal of theoretical and applied finance
24
(
2021
)
3
,
pp. 1-22
Persistent link: https://www.econbiz.de/10012652634
Saved in:
9
Counterparty risk for Credit Default
Swap
with states related default intensity processes
Tang, Dan
;
Wang, Yongjin
;
Zhou, Yuzhen
- In:
International journal of theoretical and applied finance
14
(
2011
)
8
,
pp. 1335-1353
Persistent link: https://www.econbiz.de/10009541993
Saved in:
10
Credit default swaps in two-dimensional models with various informations flows
Gapeev, Pavel V.
;
Jeanblanc, Monique
- In:
International journal of theoretical and applied finance
23
(
2020
)
2
,
pp. 1-28
Persistent link: https://www.econbiz.de/10012270908
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