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On measuring credit risks of derivative instruments

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  • Duffee, Gregory R.

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File URL: http://www.sciencedirect.com/science/article/B6VCY-3VW1TFV-2/2/fe8e5be2f583702ed0e02635624da1a8
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Bibliographic Info

Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 20 (1996)
Issue (Month): 5 (June)
Pages: 805-833
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Handle: RePEc:eee:jbfina:v:20:y:1996:i:5:p:805-833

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For corrections or technical questions regarding this item, or to correct its listing, contact: (Jeroen Loos).

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Cited by:
  1. Lucas, Andre & Klaassen, Pieter & Spreij, Peter & Straetmans, Stefan, 2001. "An analytic approach to credit risk of large corporate bond and loan portfolios," Journal of Banking & Finance, Elsevier, vol. 25(9), pages 1635-1664, September.
  2. Michel Aglietta, 1996. "Financial Market Failures and Systemic Risk," Working Papers 1996-01, CEPII research center.
  3. Chunsheng Zhou, 1997. "A jump-diffusion approach to modeling credit risk and valuing defaultable securities," Finance and Economics Discussion Series 1997-15, Board of Governors of the Federal Reserve System (U.S.).
  4. Hugues Pirotte, 1999. "Implementing a Structural Valuation Model of Swap Credit-Sensitive Rates," Working Papers CEB 99-001.RS, ULB -- Universite Libre de Bruxelles.
  5. Oda, Nobuyuki & Muranaga, Jun, 1997. "A New Framework for Measuring the Credit Risk of a Portfolio: The "ExVaR" Model," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 15(2), pages 27-62, December.

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