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A multivariate default model with spread and event risk

Mai, Jan-Frederik; Olivares, Pablo; Schenk, Steffen; … - In: Applied mathematical finance 21 (2014) 1/2, pp. 51-83

Persistent link: https://www.econbiz.de/10010351857

Pricing kth-to-default swaps in a Lévy-time framework

Mai, Jan-Frederik; Scherer, Matthias - In: The journal of credit risk : published quarterly by … 5 (2009/10) 3, pp. 55-70

Persistent link: https://www.econbiz.de/10003903240

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

A stochastic gradient descent algorithm to maximize power utility of large credit portfolios under Marshall-Olkin dependenceh

Mai, Jan-Frederik; Blagoeva, Aleksandra; Scherer, Matthias - In: Frontiers of mathematical finance : FMF 2 (2023) 4, pp. 522-553

Persistent link: https://www.econbiz.de/10015374119

Modeling the evolution of implied CDO correlations

Hofert, Marius; Scherer, Matthias; Zagst, Rudi - In: Financial markets and portfolio management 24 (2010) 3, pp. 289-308

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Cross asset portfolio derivatives

Höcht, Stephan; Scherer, Matthias; Seegerer, Philip - In: Alternative investments and strategies : credit, …, (pp. 175-197). 2010

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Pricing and hedging CDO tranches using latent one-factor models : an empirical study

Höcht, Stephan; Scherer, Matthias; Spitaler, Patrick - In: Journal / The Capco Institute : journal of financial … 40 (2014), pp. 49-64

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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

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A note on the valuation of CDS options and extension risk in a structural model with jumps

Hüttner, Amelie; Scherer, Matthias - In: International journal of financial engineering 3 (2016) 2, pp. 1-16

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Innovations in Derivatives Markets : Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation

Glau, Kathrin (ed.); Grbac, Zorana (ed.); … - Conference Innovations in Derivatives Markets - Fixed … - 2016

This book presents 20 peer-reviewed chapters on current aspects of derivatives markets and derivative pricing. The contributions, written by leading researchers in the field as well as experienced authors from the financial industry, present the state of the art in: "Modeling counterparty credit...

Persistent link: https://www.econbiz.de/10011588323