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A tractable multivariate default model based on a stochastic time-change
Mai, Jan-Frederik; Scherer, Matthias - In: International journal of theoretical and applied finance 12 (2009) 2, pp. 227-249
Persistent link: https://www.econbiz.de/10003855783
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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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Pricing-hedging duality for credit default swaps and the negative basis arbitrage
Mai, Jan-Frederik - In: International journal of theoretical and applied finance 22 (2019) 6, pp. 1-17
Persistent link: https://www.econbiz.de/10012153067