The pricing of credit risk derivatives
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References listed on IDEAS
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- Dunbar, Kwamie & Amin, Abu S., 2012. "Credit risk dynamics in response to changes in the federal funds target: The implication for firm short-term debt," Review of Financial Economics, Elsevier, vol. 21(3), pages 141-152.
- Francois, Pascal & Hubner, Georges, 2004. "Credit derivatives with multiple debt issues," Journal of Banking & Finance, Elsevier, vol. 28(5), pages 997-1021, May.
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- repec:kap:iaecre:v:17:y:2011:i:3:p:258-273 is not listed on IDEAS
- Duffie, Darrell, 2005. "Credit risk modeling with affine processes," Journal of Banking & Finance, Elsevier, vol. 29(11), pages 2751-2802, November.
- Biao Guo & Qian Han & Doojin Ryu, 2013. "The Number of State Variables for CDS Pricing," WISE Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
- Giacometti, Rosella & Teocchi, Mariangela, 2005. "On pricing of credit spread options," European Journal of Operational Research, Elsevier, vol. 163(1), pages 52-64, May.
- Gann, Philipp, 2008. "Der Internal Capital Adequacy Assessment Process als regulatorischer Treiber eines aktiven Kreditportfoliomanagements," Discussion Papers in Business Administration 4831, University of Munich, Munich School of Management.
- Brown, Christine A. & Wang, Sally, 2002. "Credit risk: The case of First Interstate Bankcorp," International Review of Financial Analysis, Elsevier, vol. 11(2), pages 229-248.
- Esteghamat, Kian, 2003. "A boundary crossing model of counterparty risk," Journal of Economic Dynamics and Control, Elsevier, vol. 27(10), pages 1771-1799, August.
- Nicholas Apergis & Emmanuel Mamatzakis & Christos Staikouras, 2011. "Testing for Regime Changes in Greek Sovereign Debt Crisis," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 17(3), pages 258-273, August.
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