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- Paper Reducing estimation risk using a Bayesian posterior distribution approach: application to stress testing mortgage loan default 2021-05-03 Paper Spatial...10 bytes (18 words) - 01:33, 11 December 2023
- formula for pricing \(m\)-th to default swaps 2014-08-05 Paper Numerical methods to quantify the model risk of basket default swaps 2014-06-06 Paper Optimization...10 bytes (16 words) - 15:47, 11 December 2023
- non-linear incomplete market model with default 2021-11-03 Paper Limit Theorems for Default Contagion and Systemic Risk 2021-04-01 Paper European Options in...10 bytes (16 words) - 00:53, 9 December 2023
- Publication Date of Publication Type Complete markets with bankruptcy risk and pecuniary default punishments 2023-07-03 Paper https://portal.mardi4nfdi.de/entity/Q5859829...10 bytes (22 words) - 20:12, 9 December 2023
- Probability of default estimation in credit risk using a nonparametric approach 2021-11-22 Paper Correction to: ``Probability of default estimation in credit...10 bytes (18 words) - 11:49, 13 December 2023
- impacts of the external supply risk in a natural gas supply chain: the case of the Italian market 2018-03-01 Paper Default probability estimation via pair...10 bytes (20 words) - 01:33, 11 December 2023
- of kth-to-default credit-linked notes with counterparty risk in a reduced-form model 2023-06-27 Paper Indifference pricing of credit default swaps in a...10 bytes (17 words) - 23:19, 11 December 2023
- compound Poisson risk model with dependence 2018-09-25 Paper Asymptotics for a discrete-time risk model with Gamma-like insurance risks 2018-07-13 Paper...10 bytes (18 words) - 16:10, 10 December 2023
- Valuation of risk-based premium of DB pension plan with terminations 2019-05-23 Paper Robust non-zero-sum investment and reinsurance game with default risk 2019-01-15...10 bytes (17 words) - 16:20, 11 December 2023
- Greater downside risk aversion in the large 2009-05-12 Paper Risk preferences and changes in background risk 2008-06-11 Paper Greater downside risk aversion 2002-08-20...10 bytes (18 words) - 18:29, 9 December 2023
- frequentist risks of Bayesian estimators of vector-autoregressive models 2003-06-09 Paper Monetary policy and asymmetric response in default risk 1999-01-12...10 bytes (16 words) - 15:35, 10 December 2023
- investment and consumption with default risk: HARA utility 2013-09-20 Paper Optimal portfolio and consumption selection with default risk 2013-04-10 Paper FIRST...10 bytes (17 words) - 01:37, 10 December 2023
- BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS 2014-04-23 Paper PRICING COUNTERPARTY RISK INCLUDING COLLATERALIZATION...10 bytes (16 words) - 01:58, 12 December 2023
- of truncated data with applications to operational risk measurement 2015-04-08 Paper Credit default swaps: implied ratings versus official ones 2013-02-06...10 bytes (16 words) - 16:24, 9 December 2023
- Probability of default estimation in credit risk using a nonparametric approach 2021-11-22 Paper Correction to: ``Probability of default estimation in credit...10 bytes (20 words) - 01:14, 9 December 2023
- DERIVATIVES WITH INTERACTING DEFAULT INTENSITIES 2011-04-27 Paper Dynamic hedging of synthetic CDO tranches with spread risk and default contagion 2010-04-22 Paper...10 bytes (16 words) - 15:34, 12 December 2023
- with random default time 2014-01-09 Paper Optimal investment-reinsurance with dynamic risk constraint and regime switching 2013-12-17 Paper A risk-based approach...10 bytes (18 words) - 02:32, 10 December 2023
- Publication Type A model for dependent default with hyperbolic attenuation effect and valuation of credit default swap 2008-09-01 Paper https://portal.mardi4nfdi...10 bytes (17 words) - 04:39, 13 December 2023
- with default and dynamic insider information 2013-07-18 Paper On absolutely continuous compensators and nonlinear filtering equations in default risk models...10 bytes (16 words) - 20:59, 9 December 2023
- reinsurer's default risk 2024-03-21 Paper Optimal insurance design under Vajda condition and exclusion clauses 2022-08-12 Paper Set-valued dynamic risk measures...10 bytes (17 words) - 15:26, 10 December 2023
