Similar Search Results

Regulatory taxes, investment, and financing decisions for insured banks

Li, Anlong; Ritchken, Peter H.; Sankarasubramanian, L.; … - In: Advances in international banking and finance 2 (1996), pp. 1-30

Persistent link: https://www.econbiz.de/10001208788

On correlation and default clustering in credit markets

Berndt, Antje; Ritchken, Peter H.; Sun, Zhiqiang - In: The review of financial studies 23 (2010) 7, pp. 2680-2729

Persistent link: https://www.econbiz.de/10003992037

Predicting credit spreads

Krishnan, C. N. V.; Ritchken, Peter H.; Thomson, James B. - In: Journal of financial intermediation 19 (2010) 4, pp. 529-563

Persistent link: https://www.econbiz.de/10008989730

The changing role of banks and the changing value of deposit guarantees

Ritchken, Peter H.; Popova, Ivilina; Thomson, James B. - In: Advances in international banking and finance 3 (1998), pp. 1-22

Persistent link: https://www.econbiz.de/10001362294

The changing role of banks and the changing value of deposit guarantees

Ritchken, Peter H. - 1995

Persistent link: https://www.econbiz.de/10013446284

Regulatory taxes, investment, and financing decisions for insured banks

Li, Anlong (contributor) - 1993

Persistent link: https://www.econbiz.de/10013446193

A Jump Diffusion Model for Contingent CDS Valuation

Li, Anlong - 2007

We study the valuation of contingent credit default swaps (C-CDS) where the underlying is an interest rate swap and swap rate follows a diffusion process with a one-time jump at default. Our method extends the standard Black (1976) model for interest rate swaption to (1) swaption expires at a...

Persistent link: https://www.econbiz.de/10014224311