Research on CDS pricing model with endogenous recovery rate (Q2207878): Difference between revisions

@@ Property / author @@
-Ya-Ming Zhuang
@@ Property / author: Ya-Ming Zhuang / rank @@
-Normal rank
@@ Property / author @@
+Ya-Ming Zhuang
@@ Property / author: Ya-Ming Zhuang / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.cnsns.2018.02.004
+Normal rank
@@ Property / OpenAlex ID @@
+W2792407777
@@ Property / OpenAlex ID: W2792407777 / rank @@
+Normal rank
@@ Property / cites work @@
+Beta kernel estimators for density functions
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+Implied recovery
@@ Property / cites work: Implied recovery / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing CDOs with state-dependent stochastic recovery rates
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+Pricing credit derivatives under stochastic recovery in a hybrid model
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+Mortality modelling with Lévy processes
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+Jumps in intensity models: investigating the performance of Ornstein-Uhlenbeck processes in credit risk modeling
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+Constructing hierarchical archimedean copulas with Lévy subordinators
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+Financial Modelling with Jump Processes
@@ Property / cites work: Financial Modelling with Jump Processes / rank @@
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+Q3680030
@@ Property / cites work: Q3680030 / rank @@
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+Q3378427
@@ Property / cites work: Q3378427 / rank @@
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@@ Property / cites work @@
+Lévy Processes and Stochastic Calculus
@@ Property / cites work: Lévy Processes and Stochastic Calculus / rank @@
+Normal rank