A STRUCTURAL MODEL FOR CREDIT-EQUITY DERIVATIVES AND BESPOKE CDOs
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References listed on IDEAS
- 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.
- Lucas, André & Klaassen, Pieter & Spreij, Peter, 1999. "An analytic approach to credit risk of large corporate bond and loan portfolios," Serie Research Memoranda 0018, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
- Albanese, Claudio, 2006. "Operator Methods, Abelian Processes And Dynamic Conditioning," MPRA Paper 5246, University Library of Munich, Germany, revised 06 Nov 2007.
- Albanese, Claudio & Chen, Oliver X., 2006. "Implied migration rates from credit barrier models," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 607-626, February.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Albanese, Claudio & Vidler, Alicia, 2008. "Dynamic Conditioning and Credit Correlation Baskets," MPRA Paper 8368, University Library of Munich, Germany, revised 21 Apr 2008.
- repec:wsi:ijtafx:v:14:y:2011:i:07:n:s0219024911006619 is not listed on IDEAS
More about this item
KeywordsCredit derivatives; equity derivatives; long dated derivatives; CDOs; structural model;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2007-10-13 (All new papers)
- NEP-CFN-2007-10-13 (Corporate Finance)
- NEP-RMG-2007-10-13 (Risk Management)
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