Credit Risk Modeling
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(50)- Evaluation of credit risk based on firm performance
- Credit risk. Measurement, evaluation and management
- Default risk in bond and credit derivatives markets.
- Monounireducible nonhomogeneous continuous time semi-Markov processes applied to rating migration models
- The valuation of multi-counterparties CDS with credit rating migration
- Practical partial equilibrium framework for pricing of mortality-linked instruments in continuous time
- A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation
- Linear credit risk models
- Information reduction via level crossings in a credit risk models
- Closed-form likelihood estimation for one type of affine point processes
- Prepayment option of a perpetual corporate loan: the impact of the funding costs
- Asset allocation and asset pricing in the face of systemic risk: a literature overview and assessment
- Credit risk valuation with rating transitions and partial information
- RANDOM TIME FORWARD-STARTING OPTIONS
- Sato processes in default modelling
- Dangerous knowledge: credit value adjustment with credit triggers
- Time-changed Markov processes in unified credit-equity modeling
- Counterparty risk for credit default swap with states related default intensity processes
- AN INFINITE FACTOR MODEL FOR CREDIT RISK
- PRICING CORPORATE SECURITIES UNDER NOISY ASSET INFORMATION
- Random thinning with credit quality vulnerability factor for better risk management of credit portfolio in a top-down framework
- INTENSITY‐BASED VALUATION OF RESIDENTIAL MORTGAGES: AN ANALYTICALLY TRACTABLE MODEL
- Multiscale Intensity Models for Single Name Credit Derivatives
- A Structural Model with Unobserved Default Boundary
- scientific article; zbMATH DE number 5309345 (Why is no real title available?)
- Fast valuation of forward-starting basket default swaps
- scientific article; zbMATH DE number 5723836 (Why is no real title available?)
- An exact formula for default swaptions' pricing in the SSRJD stochastic intensity model
- Recent Advances in Credit Risk Management
- MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL
- An Integral-Equation Approach for Defaultable Bond Prices with Application to Credit Spreads
- scientific article; zbMATH DE number 1475712 (Why is no real title available?)
- Credit-Risk Modelling
- Computing credit valuation adjustment for Bermudan options with wrong way risk
- Calculation of exposure profiles and sensitivities of options under the Heston and the Heston Hull-White models
- A Mean Field Game of Optimal Stopping
- Default barrier intensity model for credit risk evaluation
- A class of discrete transformation survival models with application to default probability prediction
- Taming animal spirits: risk management with behavioural factors
- Graphical models for correlated defaults
- Credit risk: simple closed-form approximate maximum likelihood estimator
- Credit analysis, bond rating forecasting, and default probability estimation
- Pricing barrier stock options with discrete dividends by approximating analytical formulae
- An inhomogeneous semi-Markov model for the term structure of credit risk spreads
- PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY
- Fast simulations in credit risk
- Credit risk analysis using boosting methods
- Decomposing LIBOR in transition: evidence from the futures markets
- On the distribution of the telegraph meander and its properties
- A jump to default extended CEV model: an application of Bessel processes
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