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A framework for market, credit and transfer risk aggregation and stress testing
Farinelli, Simone - In: The journal of credit risk : published quarterly by … 12 (2016) 1, pp. 1-41
Persistent link: https://www.econbiz.de/10011566247
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Art-secured lending : a risk analysis framework
Charlin, Ventura; Cifuentes, Arturo - In: The journal of credit risk : published quarterly by … 16 (2020) 2, pp. 67-93
Persistent link: https://www.econbiz.de/10012298997
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Recovery swaps
Berd, Arthur M. - In: The journal of credit risk : published quarterly by … 1 (2005) 3, pp. [61]-70
Persistent link: https://www.econbiz.de/10003198826
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Time series models for credit default swap premiums
Eifert, Márton - In: The journal of credit risk : published quarterly by … 11 (2015) 3, pp. 21-44
Persistent link: https://www.econbiz.de/10011380101
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Contingent credit default swaps: accurate and approximate pricing
Koziol, Christian; Schön, Thomas - In: The journal of credit risk : published quarterly by … 12 (2016) 1, pp. 75-95
Persistent link: https://www.econbiz.de/10011566278
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Credit default swap spreads, fair-value spreads and interest rate dynamics
Yeh, Andy Jia-yuh - In: The journal of credit risk : published quarterly by … 8 (2012) 4, pp. 53-129
Persistent link: https://www.econbiz.de/10009700464
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A copula approach to credit valuation adjustment for swaps under wrong-way risk
C̆erný, Jakub; Witzany, Jir̆í - In: The journal of credit risk : published quarterly by … 14 (2018) 1, pp. 31-43
Persistent link: https://www.econbiz.de/10011885459
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A three-factor hazard rate model for single-name credit default swap pricing
Zhong, Yangfan; Mi, Yanhui - In: The journal of credit risk : published quarterly by … 18 (2022) 2, pp. 27-63
Persistent link: https://www.econbiz.de/10014546386
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A model of corporate bond pricing with liquidity and marketability risk
Tychon, Pierre; Vannetelbosch, Vincent J. - In: The journal of credit risk : published quarterly by … 1 (2005) 3, pp. 3-35
Persistent link: https://www.econbiz.de/10003198798
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CDO rating methodology : some thoughts on model risk and its implications
Fender, Ingo; Kiff, John - In: The journal of credit risk : published quarterly by … 1 (2005) 3, pp. 37-58
Persistent link: https://www.econbiz.de/10003198815