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MODELING THE RECOVERY RATE IN...
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Mathematical finance : an international journal of mathematics, statistics and financial theory
3
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ECONIS (ZBW)
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Modeling the recovery rate in a reduced form model
Guo, Xin
;
Jarrow, Robert A.
;
Zeng, Yan
- In:
Mathematical finance : an international journal of …
19
(
2009
)
1
,
pp. 73-97
Persistent link: https://www.econbiz.de/10003818346
Saved in:
2
Credit risk models with incomplete information
Guo, Xin
;
Jarrow, Robert A.
;
Zeng, Yan
- In:
Mathematics of operations research
34
(
2009
)
2
,
pp. 320-332
Persistent link: https://www.econbiz.de/10003870282
Saved in:
3
The economic default time and the arcsine law
Guo, Xin
;
Jarrow, Robert A.
;
Larrard, Adrien de
- In:
Journal of financial engineering
1
(
2014
)
3
,
pp. 1-18
Persistent link: https://www.econbiz.de/10010508010
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4
Distressed debt prices and recovery rate estimation
Guo, Xin
;
Jarrow, Robert A.
;
Lin, Haizhi
- In:
Review of derivatives research
11
(
2008
)
3
,
pp. 171-204
Persistent link: https://www.econbiz.de/10003835030
Saved in:
5
Real estate prices and systemic banking crises
Deng, Yang
;
Zeng, Yan
;
Li, Zhirui
- In:
Economic modelling
80
(
2019
),
pp. 111-120
Persistent link: https://www.econbiz.de/10012199198
Saved in:
6
Graphical models for correlated defaults
Filiz, Ismail Onur
;
Guo, Xin
;
Morton, Jason
;
Sturmfels, …
- In:
Mathematical finance : an international journal of …
22
(
2012
)
4
,
pp. 621-644
Persistent link: https://www.econbiz.de/10009614943
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7
Time-Consistent Investment-Reinsurance Strategy for Mean-Variance Insurers With a Defaultable Security
Zhao, Hui
-
2015
This paper considers an optimal investment and reinsurance problem involving a defaultable security for an insurer under the mean-variance criterion in a jump-diffusion risk model. The insurer is allowed to purchase proportional reinsurance or acquire new business and invest in a financial...
Persistent link: https://www.econbiz.de/10013028201
Saved in:
8
Distressed debt prices and recovery rate estimation
Guo, Xin
;
Jarrow, Robert
;
Lin, Haizhi
- In:
Review of Derivatives Research
11
(
2008
)
3
,
pp. 171-204
Persistent link: https://www.econbiz.de/10005678300
Saved in:
9
Credit risk models
Jarrow, Robert A.
- In:
Annual review of financial economics
1
(
2009
),
pp. 37-68
Persistent link: https://www.econbiz.de/10003924491
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10
Problems with using CDS to infer default probabilities
Jarrow, Robert A.
- In:
The journal of fixed income
21
(
2012
)
4
,
pp. 6-12
Persistent link: https://www.econbiz.de/10009670767
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