A GENERAL FRAMEWORK FOR PRICING CREDIT RISK
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Cites work
- Credit risk valuation. Methods, models, and applications.
- Credit risk: Modelling, valuation and hedging
- Hazard rate for credit risk and hedging defaultable contingent claims
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- Multiple ratings model of defaultable term structure.
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Cited in
(49)- General dynamic term structures under default risk
- Dynamic investment and counterparty risk
- Number of paths versus number of basis functions in American option pricing
- Relations between stochastic and partial differential equations in Hilbert spaces
- Optimal portfolio and consumption selection with default risk
- Pricing vulnerable claims in a Lévy-driven model
- Portfolio optimization of credit swap under funding costs
- Affine processes beyond stochastic continuity
- Pricing and trading credit default swaps in a hazard process model
- Intensity process and compensator: A new filtration expansion approach and the Jeulin-Yor theorem
- Pricing default events: surprise, exogeneity and contagion
- Reduced-form framework for multiple ordered default times under model uncertainty
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- Optimal investment in credit derivatives portfolio under contagion risk
- Robust optimization of credit portfolios
- No-armageddon measure for arbitrage-free pricing of index options in a credit crisis
- A discrete-time approach to arbitrage-free pricing of credit derivatives
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- Replication of Contingent Claims in a Reduced-Form Credit Risk Model with Discontinuous Asset Prices
- PDE APPROACH TO THE VALUATION AND HEDGING OF BASKET CREDIT DERIVATIVES
- A GENERAL FRAMEWORK FOR HIGH YIELD BOND INVESTMENT
- A Note on Credit Insurance
- Optimal investment and consumption with default risk: HARA utility
- From insurance risk to credit portfolio management: a new approach to pricing CDOs
- Dynamic defaultable term structure modeling beyond the intensity paradigm
- MODELING SOVEREIGN RISKS: FROM A HYBRID MODEL TO THE GENERALIZED DENSITY APPROACH
- Bilateral credit valuation adjustment for large credit derivatives portfolios
- A generalized intensity-based framework for single-name credit risk
- No Arbitrage Theory for Bond Markets
- Portfolio credit risk with predetermined default orders
- DEFAULTABLE TERM STRUCTURES DRIVEN BY SEMIMARTINGALES
- Local risk minimization of contingent claims simultaneously exposed to endogenous and exogenous default times
- Beyond hazard rates: a new framework for credit-risk modelling
- Pricing the risks of default
- Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps
- Pricing and semimartingale representations of vulnerable contingent claims in regime-switching markets
- A General Formula for Valuing Defaultable Securities
- Beyond hazard rates: a new framework for credit-risk modelling
- Classical solutions to reaction-diffusion systems for hedging problems with interacting Itô and point processes
- A framework to measure integrated risk
- Generalized Cox model for default times
- Representation for martingales living after a random time with applications
- The martingale problem method revisited
- Optimal investment and consumption strategies for an investor with stochastic economic factor in a defaultable market
- Closed-form solutions for pricing credit-risky bonds and bond options
- Bilateral Credit Valuation Adjustment of CDS Under Systemic and Correlated Idiosyncratic Risks
- Fair (intra-bank transfer) prices for credits with stochastic recovery
- An integrated pricing model for defaultable loans and bonds
- Dynamic credit investment in partially observed markets
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