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Credit derivatives - Let's jum...
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Schoutens, Wim
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The journal of derivatives : the official publication of the International Association of Financial Engineers
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Credit derivatives - Explaining the Lévy base correlation smile - The authors look at base expected loss at maturity both in the Gaussian copula and Lévy-based models, and link it to base correlation in these frameworks. They report on the existence of smile in both base correlation curves and discuss different interpolation methodologies in the absence of arbitrage. Finally, they discuss the ...
Garcia, Joao
;
Goossens, Serge
- In:
Risk : managing risk in the world's financial markets
21
(
2008
)
7
,
pp. 84-88
Persistent link: https://www.econbiz.de/10008081600
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2
A process model to develop an internal rating system: Sovereign credit ratings
Van Gestel, Tony
;
Baesens, Bart
;
Van Dijcke, Peter
; …
- In:
Decision support systems : DSS ; the international journal
42
(
2007
)
2
,
pp. 1131-1151
Persistent link: https://www.econbiz.de/10007391890
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3
Short-term risk management using stochastic Taylor expansions under Lévy models
Schoutens, Wim
;
Studer, Michael
- In:
Insurance / Mathematics & economics
33
(
2003
)
1
,
pp. 173-188
Persistent link: https://www.econbiz.de/10006886812
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4
A note on some new perpetuities
Decamps, Marc
;
Schepper, Ann De
;
Goovaerts, Marc
; …
- In:
Scandinavian actuarial journal : Actuarial Society of …
105
(
2005
)
4
,
pp. 261-270
Persistent link: https://www.econbiz.de/10005921690
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5
Static Hedging of Asian Options under Lévy Models
Albrecher, Hansjörg
;
Dhaene, Jan
;
Goovaerts, Marc
; …
- In:
The journal of derivatives : the official publication …
12
(
2005
)
3
,
pp. 63
Persistent link: https://www.econbiz.de/10005923133
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6
Completion of a Lévy market by power-jump assets
Corcuera, José Manuel
;
Nualart, David
;
Schoutens, Wim
- In:
Finance and stochastics
9
(
2005
)
1
,
pp. 109-128
Persistent link: https://www.econbiz.de/10008222973
Saved in:
7
Calibration risk: Illustrating the impact of calibration risk under the Heston model
Guillaume, Florence
;
Schoutens, Wim
- In:
Review of derivatives research
15
(
2012
)
1
,
pp. 57-80
Persistent link: https://www.econbiz.de/10009843786
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8
The Herd Behavior Index: A new measure for the implied degree of co-movement in stock markets
Dhaene, Jan
;
Linders, Daniël
;
Schoutens, Wim
;
Vyncke, David
- In:
Insurance / Mathematics & economics
50
(
2012
)
3
,
pp. 357-371
Persistent link: https://www.econbiz.de/10009846326
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9
On the (in-)dependence between financial and actuarial risks
Dhaene, Jan
;
Kukush, Alexander
;
Luciano, Elisa
; …
- In:
Insurance / Mathematics & economics
52
(
2013
)
3
,
pp. 522-531
Persistent link: https://www.econbiz.de/10010119400
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10
Implied liquidity: Model sensitivity
Albrecher, Hansjoerg
;
Guillaume, Florence
;
Schoutens, Wim
- In:
Journal of empirical finance
23
(
2013
),
pp. 48-67
Persistent link: https://www.econbiz.de/10010165910
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