The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling
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- Xiao, Tim, 2017. "The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling," arabixiv.org 96dy5, Center for Open Science.
- Xiao, Tim, 2013. "The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling," MPRA Paper 47136, University Library of Munich, Germany.
- Xiao, Tim, 2017. "The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling," FrenXiv mt637, Center for Open Science.
- Xiao,Tim, 2019. "The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling," EconStor Preprints 201542, ZBW - Leibniz Information Centre for Economics.
- Xiao, Tim, 2017. "The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling," SocArXiv u546r, Center for Open Science.
References listed on IDEAS
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Citations
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Cited by:
- Xiao, Tim, 2013. "An Accurate Solution for Credit Value Adjustment (CVA) and Wrong Way Risk," MPRA Paper 47104, University Library of Munich, Germany.
- Tim Xiao, 2015.
"Is the jump-diffusion model a good solution for credit risk modelling? The case of convertible bonds,"
International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd, vol. 4(1), pages 1-25.
- Xiao,Tim, 2015. "Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 4(1), pages 1-25.
- Xiao, Tim, 2013. "Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds," MPRA Paper 47366, University Library of Munich, Germany.
- Xiao, Tim, 2017. "Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds," SocArXiv zr7hp, Center for Open Science.
- Xiao, Tim, 2017. "Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds," arabixiv.org ez659, Center for Open Science.
- Xiao, Tim, 2017. "Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds," FrenXiv unz4k, Center for Open Science.
- Tim Xiao, 2015. "Is the jump-diffusion model a good solution for credit risk modelling? The case of convertible bonds," Post-Print hal-01812928, HAL.
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More about this item
Keywords
asset pricing; credit risk modeling; unilateral; bilateral; multilateral credit risk; collateralization; comvariance; comrelation; correlation;All these keywords.
JEL classification:
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BAN-2019-03-04 (Banking)
- NEP-RMG-2019-03-04 (Risk Management)
Statistics
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