Pages that link to "Item:Q5475048"
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The following pages link to A General Formula for Valuing Defaultable Securities (Q5475048):
Displaying 44 items.
- A reduced-form model for correlated defaults with regime-switching shot noise intensities (Q292361) (← links)
- The law of large numbers for self-exciting correlated defaults (Q436290) (← links)
- On absolutely continuous compensators and nonlinear filtering equations in default risk models (Q454855) (← links)
- Change of measure up to a random time: details (Q529431) (← links)
- Modelling default contagion using multivariate phase-type distributions (Q539143) (← links)
- Closed-form solutions for pricing credit-risky bonds and bond options (Q632832) (← links)
- Credit risky securities valuation under a contagion model with interacting intensities (Q642743) (← links)
- Correlated intensity, counter party risks, and dependent mortalities (Q661258) (← links)
- A model for dependent default with hyperbolic attenuation effect and valuation of credit default swap (Q940499) (← links)
- Basket CDS pricing with interacting intensities (Q964685) (← links)
- Recursive valuation of defaultable securities and the timing of resolution of uncertainty (Q1354833) (← links)
- Implications of implicit credit spread volatilities on interest rate modelling (Q1694952) (← links)
- A new default probability calculation formula and its application under uncertain environments (Q1727067) (← links)
- Pricing of defaultable securities associated with recovery rate under the stochastic interest rate driven by fractional Brownian motion (Q1738521) (← links)
- A reduced-form model with default intensities containing contagion and regime-switching Vasicek processes (Q1787114) (← links)
- Positive XVAs (Q2085834) (← links)
- XVA metrics for CCP optimization (Q2173275) (← links)
- The pricing of credit risky securities under stochastic interest rate model with default correlation. (Q2249860) (← links)
- A contagion model with Markov regime-switching intensities (Q2258911) (← links)
- Credit, funding, margin, and capital valuation adjustments for bilateral portfolios (Q2296097) (← links)
- BSDEs of counterparty risk (Q2347456) (← links)
- Unilateral counterparty risk valuation of CDS using a regime-switching intensity model (Q2446699) (← links)
- Restructuring risk in credit default swaps: an empirical analysis (Q2464865) (← links)
- Transform analysis for point processes and applications in credit risk (Q2851562) (← links)
- THE VALUATION OF THE BASKET CDS IN A PRIMARY-SUBSIDIARY MODEL (Q2998844) (← links)
- A dynamic programming approach for pricing CDS and CDS options (Q3182747) (← links)
- CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK (Q3393976) (← links)
- Replication of Contingent Claims in a Reduced-Form Credit Risk Model with Discontinuous Asset Prices (Q3424144) (← links)
- Pricing of Multi‐Defaultable Bonds with a Two‐Correlated‐Factor Hull–White Model (Q3445889) (← links)
- Applications of Gram–Charlier expansion and bond moments for pricing of interest rates and credit risk (Q3577152) (← links)
- COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION (Q3655554) (← links)
- DYNAMIC DEFAULTABLE TERM STRUCTURE MODELING BEYOND THE INTENSITY PARADIGM (Q4635039) (← links)
- A factor contagion model for portfolio credit derivatives (Q4683088) (← links)
- HAZARD PROCESSES AND MARTINGALE HAZARD PROCESSES (Q4906525) (← links)
- A set-valued Markov chain approach to credit default (Q4991050) (← links)
- XVA analysis from the balance sheet (Q5014178) (← links)
- Reducing Bias in Event Time Simulations via Measure Changes (Q5085125) (← links)
- ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS (Q5411396) (← links)
- DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS (Q5464333) (← links)
- Financial models with defaultable numéraires (Q5743119) (← links)
- CVA UNDER ALTERNATIVE SETTLEMENT CONVENTIONS AND WITH SYSTEMIC RISK (Q5746926) (← links)
- An empirical analysis of alternative recovery risk models and implied recovery rates (Q5962133) (← links)
- Pricing contingent convertibles with idiosyncratic risk (Q6053640) (← links)
- Affine term structure models: A time‐change approach with perfect fit to market curves (Q6054424) (← links)
