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~isPartOf:"International journal of theoretical and applied finance"
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International journal of theoretical and applied finance
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251
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1
Informationally dynamized Gaussian copula
Crépey, S.
;
Jeanblanc, Monique
;
Wu, Dong Li
- In:
International journal of theoretical and applied finance
16
(
2013
)
2
,
pp. 1-29
Persistent link: https://www.econbiz.de/10009748717
Saved in:
2
Relating top-down with bottom-up approaches in the evaluation of ABS with large collateral pools
Diener, Nicolas
;
Jarrow, Robert A.
;
Protter, Philip E.
- In:
International journal of theoretical and applied finance
15
(
2012
)
2
,
pp. 1-20
Persistent link: https://www.econbiz.de/10009624528
Saved in:
3
Risk premia and optimal liquidation of credit
derivatives
Leung, Tim
;
Liu, Peng
- In:
International journal of theoretical and applied finance
15
(
2012
)
8
,
pp. 1-34
Persistent link: https://www.econbiz.de/10009707094
Saved in:
4
Credit risk valuation with rating transitions and partial information
Hainaut, Donatien
;
Robert, Christian Yann
- In:
International journal of theoretical and applied finance
17
(
2014
)
7
,
pp. 1-44
Persistent link: https://www.econbiz.de/10010498847
Saved in:
5
Factor copula model for portfolio credit risk
Kim, Sung Ik
;
Kim, Young Shin
- In:
International journal of theoretical and applied finance
24
(
2021
)
4
,
pp. 1-25
Persistent link: https://www.econbiz.de/10012652691
Saved in:
6
Credit modeling under jump diffusions with exponentially distributed jumps : stable calibration, dynamics and GAP risk
Hellmich, Martin
;
Kassberger, Stefan
;
Schmidt, Wolfgang M.
- In:
International journal of theoretical and applied finance
16
(
2013
)
4
,
pp. 1-26
Persistent link: https://www.econbiz.de/10009779752
Saved in:
7
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:
8
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
Saved in:
9
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:
10
Counterparty risk for credit default swaps : impact of spread volatility and default correlation
Brigo, Damiano
;
Chourdakis, Kyriakos
- In:
International journal of theoretical and applied finance
12
(
2009
)
7
,
pp. 1007-1026
Persistent link: https://www.econbiz.de/10003928780
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