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The impact of margin interest on the valuation of credit default swaps
Kan, Yu Hang; Pedersen, Claus - In: The journal of derivatives : the official publication … 20 (2012) 1, pp. 60-79
Persistent link: https://www.econbiz.de/10009671707
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Recent advances in default swap valuation
Cheng, Wai-yan - In: The journal of derivatives : the official publication … 9 (2001) 1, pp. 18-27
Persistent link: https://www.econbiz.de/10001618895
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Credit spread options valuation under GARCH
Tahani, Nabil - In: The journal of derivatives : the official publication … 14 (2006) 1, pp. 27-39
Persistent link: https://www.econbiz.de/10003379106
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Counterparty risk minimization by the optimal netting of OTC derivative trades
O'Kane, Dominic - In: The journal of derivatives : the official publication … 24 (2016) 2, pp. 48-65
Persistent link: https://www.econbiz.de/10011687335
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Valuation of CDO and an n-th default CDS without Monte Carlo simulation
Hull, John; White, Alan - In: The journal of derivatives : the official publication … 12 (2004) 2, pp. 8-23
Persistent link: https://www.econbiz.de/10002535939
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Demystifying credit risk derivatives and securitization : introducing the basic ideas to undergraduates
Cifuentes, Arturo; Pagnoncelli, Bernardo K. - In: The journal of derivatives : the official publication … 22 (2014) 2, pp. 110-118
Persistent link: https://www.econbiz.de/10011311414
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Counterparty credit risk and American options
Klein, Peter; Yang, Jun - In: The journal of derivatives : the official publication … 20 (2013) 4, pp. 7-21
Persistent link: https://www.econbiz.de/10009760552
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Modeling default dependence with threshold models
Overbeck, Ludger; Schmidt, Wolfgang - In: The journal of derivatives : the official publication … 12 (2004) 4, pp. 10-19
Persistent link: https://www.econbiz.de/10003010718
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Dynamic models of portfolio credit risk : a simplified approach
Hull, John; White, Alan - In: The journal of derivatives : the official publication … 15 (2008) 4, pp. 9-28
Persistent link: https://www.econbiz.de/10003733219
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Default correlation dynamics with business cyle and credit quality changes
Kim, Mi Ae; Kim, Tong Suk - In: The journal of derivatives : the official publication … 13 (2005) 1, pp. 8-27
Persistent link: https://www.econbiz.de/10003159462