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Shifted regime switching CIR diffusion tree for credit options

Weckend, Johannes - 2014

Persistent link: https://www.econbiz.de/10010419390

Credit derivative evaluation and CVA under the benchmark approach

Baldeaux, Jan; Platen, Eckhard - In: Asia-Pacific financial markets 22 (2015) 3, pp. 305-331

Persistent link: https://www.econbiz.de/10011524811

The relevance of market variables in the CDS spread volatility : an empirical post-crisis analysis

Di Febo, Elisa; Angelini, Eliana - In: Global business review 19 (2018) 6, pp. 1462-1477

Persistent link: https://www.econbiz.de/10011982810

Stress-testing portfolio-specific risk

Fink, Jason D.; Fink, Kristin E.; Sono, Hui H. - In: Journal of investment management : JOIM 11 (2013) 4, pp. 40-57

Persistent link: https://www.econbiz.de/10010357097

What determines bank CDS spreads? : evidence from European and US banks

Drago, Danilo; Di Tommaso, Caterina; Thornton, John - In: Finance research letters 22 (2017), pp. 140-145

Persistent link: https://www.econbiz.de/10011808001

Credit derivatives and loan yields

Azam, Nimita; Mamun, Abdullah al; Tannous, George F. - In: The financial review : the official publication of the … 57 (2022) 1, pp. 205-241

Persistent link: https://www.econbiz.de/10012819512

Benchmark approach for defaultable claims under partial information

Raju, I. Venkat Appal; Selvaraju, N. - In: International journal of financial engineering and risk … 1 (2013) 2, pp. 170-192

Persistent link: https://www.econbiz.de/10010197913

Three essays on credit risk with a special focus on the subprime financial crisis

Breitenfellner, Bastian - 2013

Persistent link: https://www.econbiz.de/10010212737

A tree Implementation of a credit spread model for credit derivatives

Schönbucher, Philipp J. - 2000 - This version June 1999

In this paper we present a tree model for defaultable bond prices which can be used for the pricing of credit derivatives. The model is based upon the two-factor Hull-White (1994) model for default-free interest rates, where one of the factors is taken to be the credit spread of the defaultable...

Persistent link: https://www.econbiz.de/10011538904

Linear credit risk models

Ackerer, Damien; Filipović, Damir - 2016

We introduce a novel class of credit risk models in which the drift of the survival process of a firm is a linear function of the factors. The prices of defaultable bonds and credit default swaps (CDS) are linear-rational in the factors. The price of a CDS option can be uniformly approximated by...

Persistent link: https://www.econbiz.de/10011516035