Pricing credit card loans with default risks: a discrete-time approach
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Volume (Year): 34 (2010)
Issue (Month): 4 (May)
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References listed on IDEAS
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- Charles Calomiris & Joseph Mason, 2004.
"Credit Card Securitization and Regulatory Arbitrage,"
Journal of Financial Services Research,
Springer, vol. 26(1), pages 5-27, August.
- Charles W. Calomiris & Joseph R. Mason, 2003. "Credit card securitization and regulatory arbitrage," Working Papers 03-7, Federal Reserve Bank of Philadelphia.
- Jarrow, Robert A. & van Deventer, Donald R., 1998. "The arbitrage-free valuation and hedging of demand deposits and credit card loans," Journal of Banking & Finance, Elsevier, vol. 22(3), pages 249-272, March.
- Heath, David & Jarrow, Robert & Morton, Andrew, 1990. "Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(04), pages 419-440, December.
- Duffie, Darrell & Singleton, Kenneth J, 1999. "Modeling Term Structures of Defaultable Bonds," Review of Financial Studies, Society for Financial Studies, vol. 12(4), pages 687-720.
- Jarrow, Robert A & Turnbull, Stuart M, 1995. " Pricing Derivatives on Financial Securities Subject to Credit Risk," Journal of Finance, American Finance Association, vol. 50(1), pages 53-85, March.
- Sanjiv Ranjan Das & Rangarajan K. Sundaram, 2000. "A Discrete-Time Approach to Arbitrage-Free Pricing of Credit Derivatives," Management Science, INFORMS, vol. 46(1), pages 46-62, January.
- Heath, David & Jarrow, Robert & Morton, Andrew, 1992. "Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation," Econometrica, Econometric Society, vol. 60(1), pages 77-105, January.
- James O'Brien & Athanasios Orphanides & David Small, 1994.
"Estimating the interest rate sensitivity of liquid retail deposit values,"
42, Federal Reserve Bank of Chicago.
- James O'Brien & Athanasios Orphanides & David Small, 1994. "Estimating the interest rate sensitivity of liquid retail deposit values," Finance and Economics Discussion Series 94-15, Board of Governors of the Federal Reserve System (U.S.).
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