Counterparty risk valuation on credit-linked notes under a Markov chain framework (Q2036124): Difference between revisions

@@ Property / DOI @@
-.1007/s11766-021-3477-2
@@ Property / DOI: 10.1007/s11766-021-3477-2 / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1007/s11766-021-3477-2
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+W3134921036
@@ Property / OpenAlex ID: W3134921036 / rank @@
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@@ Property / cites work @@
+Study of Dependence for Some Stochastic Processes
@@ Property / cites work: Study of Dependence for Some Stochastic Processes / rank @@
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@@ Property / cites work @@
+Credit risk: Modelling, valuation and hedging
@@ Property / cites work: Credit risk: Modelling, valuation and hedging / rank @@
+Normal rank
@@ Property / cites work @@
+Two singular diffusion problems
@@ Property / cites work: Two singular diffusion problems / rank @@
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@@ Property / cites work @@
+Explicit formulas for pricing credit-linked notes with counterparty risk under reduced-form framework
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@@ Property / cites work @@
+EFFECT OF ASSET VALUE CORRELATION ON CREDIT-LINKED NOTE VALUES
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@@ Property / cites work @@
+Q3530675
@@ Property / cites work: Q3530675 / rank @@
+Normal rank
@@ Property / cites work @@
+A parabolic variational inequality arising from the valuation of fixed rate mortgages
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@@ Property / cites work @@
+A modified structural model for credit risk
@@ Property / cites work: A modified structural model for credit risk / rank @@
+Normal rank
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+Pricing the risks of default
@@ Property / cites work: Pricing the risks of default / rank @@
+Normal rank
@@ Property / cites work @@
+INTENSITY-BASED MODELS FOR PRICING MORTGAGE-BACKED SECURITIES WITH REPAYMENT RISK UNDER A CIR PROCESS
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@@ Property / DOI @@
+.1007/S11766-021-3477-2
@@ Property / DOI: 10.1007/S11766-021-3477-2 / rank @@
+Normal rank