Implied default probability and credit derivatives
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Publication:816767
DOI10.1007/S10690-005-6007-ZzbMATH Open1137.91463OpenAlexW2024539744MaRDI QIDQ816767FDOQ816767
Authors: Koichi Matsumoto 
Publication date: 23 February 2006
Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10690-005-6007-z
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Cites Work
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- The Market Model of Interest Rate Dynamics
- Title not available (Why is that?)
- OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS
- Recursive valuation of defaultable securities and the timing of resolution of uncertainty
Cited In (9)
- Title not available (Why is that?)
- Market implied volatilities for defaultable bonds
- Implied fractional hazard rates and default risk distributions
- Default propensity implicit in pulled to par V@R for bonds
- Evaluation of credit derivatives with imperfect information
- Credit default swaps: implied ratings versus official ones
- On a statistical analysis of implied data
- From bid-ask credit default swap quotes to risk-neutral default probabilities using distorted expectations
- Default Probabilities for Mortgages
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