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Selecting pair-copulas with downside risk minimisation
Zhang, Jin; Maringer, Dietmar G. - In: International journal of financial markets and derivatives 2 (2011) 1/2, pp. 121-148
Persistent link: https://www.econbiz.de/10008933486
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Die Ermittlung des Shareholder Value mittels risikolosem Zinsfuß und Risikokorrekturfaktor
Fischer, Edwin O.; Mandl, Gerwald - In: Die Betriebswirtschaft : DBW 60 (2000) 4, pp. 459-472
Persistent link: https://www.econbiz.de/10001502403
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Die Lösung des Risikoanreizproblems durch Ausgabe von Optionsanleihen
Fischer, Edwin O. - In: Schmalenbachs Zeitschrift für betriebswirtschaftliche … 42 (1990) 4, pp. 334-342
Persistent link: https://www.econbiz.de/10001082551
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On the valuation and analysis of risky debt : a practical approach using rating migrations
Fischer, Edwin O.; Kampl, Lisa-Maria; Wöckl, Ines - 2020
Persistent link: https://www.econbiz.de/10012239798
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On the valuation and analysis of risky debt : a theoretical approach using a multivariate extension of the Merton model
Fischer, Edwin O.; Kampl, Lisa-Maria; Wöckl, Ines - 2019
Persistent link: https://www.econbiz.de/10012162732
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On the valuation and analysis of risky debt : a practical approach using rating migrations
Fischer, Edwin O.; Kampl, Lisa-Maria; Wöckl, Ines - In: Credit and capital markets : Kredit und Kapital 56 (2023) 3/4, pp. 287-312
This paper is concerned with the valuation and analysis of risky debt instruments with arbitrary interest and principal payments subject to default risk. We use a discrete risk-neutral present value model with expected payments for risk-neutral investors and risk-free spot rates for the...
Persistent link: https://www.econbiz.de/10015188164