A General Formula for Valuing Defaultable Securities
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(48)- Recursive valuation of defaultable securities and the timing of resolution of uncertainty
- Implications of implicit credit spread volatilities on interest rate modelling
- A new default probability calculation formula and its application under uncertain environments
- Pricing of defaultable securities associated with recovery rate under the stochastic interest rate driven by fractional Brownian motion
- A reduced-form model with default intensities containing contagion and regime-switching Vasicek processes
- Positive XVAs
- XVA metrics for CCP optimization
- The pricing of credit risky securities under stochastic interest rate model with default correlation.
- A contagion model with Markov regime-switching intensities
- Credit, funding, margin, and capital valuation adjustments for bilateral portfolios
- BSDEs of counterparty risk
- Unilateral counterparty risk valuation of CDS using a regime-switching intensity model
- Restructuring risk in credit default swaps: an empirical analysis
- Transform analysis for point processes and applications in credit risk
- A reduced-form model for correlated defaults with regime-switching shot noise intensities
- The valuation of the basket CDS in a primary-subsidiary model
- A dynamic programming approach for pricing CDS and CDS options
- CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK
- Replication of Contingent Claims in a Reduced-Form Credit Risk Model with Discontinuous Asset Prices
- Pricing of Multi‐Defaultable Bonds with a Two‐Correlated‐Factor Hull–White Model
- Applications of Gram-Charlier expansion and bond moments for pricing of interest rates and credit risk
- Counterparty risk for credit default swaps: impact of spread volatility and default correlation
- The law of large numbers for self-exciting correlated defaults
- On absolutely continuous compensators and nonlinear filtering equations in default risk models
- Dynamic defaultable term structure modeling beyond the intensity paradigm
- A factor contagion model for portfolio credit derivatives
- Hazard processes and martingale hazard processes
- A set-valued Markov chain approach to credit default
- XVA analysis from the balance sheet
- Reducing bias in event time simulations via measure changes
- Change of measure up to a random time: details
- Modelling default contagion using multivariate phase-type distributions
- Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps
- DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS
- Financial models with defaultable numéraires
- CVA under alternative settlement conventions and with systemic risk
- An empirical analysis of alternative recovery risk models and implied recovery rates
- Pricing contingent convertibles with idiosyncratic risk
- Affine term structure models: A time‐change approach with perfect fit to market curves
- Closed-form solutions for pricing credit-risky bonds and bond options
- Credit risky securities valuation under a contagion model with interacting intensities
- Correlated intensity, counter party risks, and dependent mortalities
- Invariance times transfer properties
- A generalized contagion credit risk model with application in pricing CDS index tranche
- Approximations of semi-Markov processes and insurance policy valuation
- Contagion network, portfolio credit risk, and financial crisis
- A model for dependent default with hyperbolic attenuation effect and valuation of credit default swap
- Basket CDS pricing with interacting intensities
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