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Pricing credit card loans with default risks: a discrete-time approach

  • Chuang-Chang Chang

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  • Ruey-Jenn Ho
  • Chengfew Lee
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    No abstract is available for this item.

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    File URL: http://hdl.handle.net/10.1007/s11156-009-0130-2
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    Article provided by Springer in its journal Review of Quantitative Finance and Accounting.

    Volume (Year): 34 (2010)
    Issue (Month): 4 (May)
    Pages: 413-438

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    Handle: RePEc:kap:rqfnac:v:34:y:2010:i:4:p:413-438
    Contact details of provider: Web page: http://springerlink.metapress.com/link.asp?id=102990

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    1. Charles Calomiris & Joseph Mason, 2004. "Credit Card Securitization and Regulatory Arbitrage," Journal of Financial Services Research, Springer, vol. 26(1), pages 5-27, August.
    2. 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.
    3. 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.
    4. 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.
    5. 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.
    6. 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.
    7. 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.
    8. James O'Brien & Athanasios Orphanides & David Small, 1994. "Estimating the interest rate sensitivity of liquid retail deposit values," Proceedings 42, Federal Reserve Bank of Chicago.
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