Risk Disaggregation And Credit Risk Valuation In The Merton Like Way
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References listed on IDEAS
- Andy C. W. Chui & Chuck C. Y. Kwok, 1998. "Cross-Autocorrelation Between A Shares And B Shares In The Chinese Stock Market," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 21(3), pages 333-353, September.
- Chui, Andy C W & Kwok, Chuck C Y, 1998. "Cross-Autocorrelation between A Shares and B Shares in the Chinese Stock Market," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 21(3), pages 333-353, Fall.
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- Hayette Gatfaoui, 2004.
"Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton's Credit Risk Valuation,"
Research Paper Series
123, Quantitative Finance Research Centre, University of Technology, Sydney.
- Hayette Gatfaoui, 2006. "Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton's Credit Risk Valuation," Post-Print hal-00589918, HAL.
- Gatfaoui Hayette, 2004. "Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton’s Credit Risk Valuation," Finance 0404004, EconWPA.
- Lin, William & Sun, David, 2006. "Diversification with idiosyncratic credit spreads: a pooled estimation on heterogeneous panels," MPRA Paper 37288, University Library of Munich, Germany, revised Jun 2007.
- Hayette Gatfaoui, 2003. "How Does Systematic Risk Impact US Credit Spreads? A Copula Study," Risk and Insurance 0308002, EconWPA.
- Sun, David & Tsai, Shih-Chuan, 2013. "Diversifying Risks in Bond Portfolios: A Cross-border Approach," MPRA Paper 44767, University Library of Munich, Germany, revised 09 Jan 2014.
More about this item
Keywordsoption pricing credit risk default probability;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2003-08-31 (All new papers)
- NEP-CFN-2003-08-31 (Corporate Finance)
- NEP-FIN-2003-08-31 (Finance)
- NEP-RMG-2003-08-31 (Risk Management)
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