Credit risk pricing with both expected and unexpected default

Applied Financial Economics Letters ◽

10.1080/17446540600993837 ◽

2007 ◽

Vol 3 (4) ◽

pp. 225-230 ◽

Author(s):

Marco Realdon

Keyword(s):

Credit Risk ◽

Risk Pricing ◽

Credit Risk Pricing

Download Full-text

Parsimonious Credit Risk Pricing Model for Corporate Bonds and Credit Derivatives Markets

SSRN Electronic Journal ◽

10.2139/ssrn.3956622 ◽

2021 ◽

Author(s):

Vadim Borue

Keyword(s):

Credit Risk ◽

Corporate Bonds ◽

Credit Derivatives ◽

Pricing Model ◽

Risk Pricing ◽

Credit Risk Pricing ◽

Derivatives Markets

Download Full-text

Credit Risk Pricing with Multivariate Stochastic Volatility

2009 International Joint Conference on Computational Sciences and Optimization ◽

10.1109/cso.2009.50 ◽

2009 ◽

Author(s):

Jun Du ◽

Yang Liu

Keyword(s):

Credit Risk ◽

Stochastic Volatility ◽

Multivariate Stochastic Volatility ◽

Risk Pricing ◽

Credit Risk Pricing

Download Full-text

How well do classical credit risk pricing models fit swap transaction data?

European Financial Management ◽

10.1111/1468-036x.00054 ◽

1998 ◽

Vol 4 (1) ◽

pp. 65-77 ◽

Author(s):

Didier Cossin ◽

Hugues Pirotte

Keyword(s):

Credit Risk ◽

Pricing Models ◽

Transaction Data ◽

Risk Pricing ◽

Credit Risk Pricing

Download Full-text

Credit risk pricing and the rationality of lending decision-making within dual banking systems: A parametric approach

Economic Systems ◽

10.1016/j.ecosys.2019.100740 ◽

2020 ◽

Vol 44 (1) ◽

pp. 100740

Author(s):

Awatef Louhichi ◽

Younes Boujelbene

Keyword(s):

Decision Making ◽

Credit Risk ◽

Parametric Approach ◽

Banking Systems ◽

Risk Pricing ◽

Credit Risk Pricing ◽

Lending Decision

Download Full-text

Sub-fractional Model for Credit Risk Pricing

International Journal of Nonlinear Sciences and Numerical Simulation ◽

10.1515/ijnsns.2010.11.4.231 ◽

2010 ◽

Vol 11 (4) ◽

Author(s):

J. Liu ◽

L. Li ◽

L. Yan

Keyword(s):

Credit Risk ◽

Fractional Model ◽

Risk Pricing ◽

Credit Risk Pricing

Download Full-text

Efficient Monte Carlo counterparty credit risk pricing and measurement

The Journal of Credit Risk ◽

10.21314/jcr.2014.179 ◽

2014 ◽

Vol 10 (3) ◽

pp. 87-133 ◽

Author(s):

Samim Ghamami ◽

Bo Zhang

Keyword(s):

Monte Carlo ◽

Credit Risk ◽

Counterparty Credit Risk ◽

Risk Pricing ◽

Credit Risk Pricing

Download Full-text

Efficient Monte Carlo Counterparty Credit Risk Pricing and Measurement

SSRN Electronic Journal ◽

10.2139/ssrn.2544692 ◽

2014 ◽

Author(s):

Samim Ghamami ◽

Bo Zhang

Keyword(s):

Monte Carlo ◽

Credit Risk ◽

Counterparty Credit Risk ◽

Risk Pricing ◽

Credit Risk Pricing

Download Full-text

Credit Risk Pricing

Advanced Credit Risk Analysis and Management ◽

10.1002/9781118604878.part6 ◽

2013 ◽

pp. 335-335

Keyword(s):

Credit Risk ◽

Risk Pricing ◽

Credit Risk Pricing

Download Full-text

The Implications of Tail Dependency Measures for Counterparty Credit Risk Pricing

SSRN Electronic Journal ◽

10.2139/ssrn.3931840 ◽

2020 ◽

Author(s):

Juan Arismendi-Zambrano ◽

Vladimir Belitsky ◽

Vinicius Amorim Sobreiro ◽

Herbert Kimura

Keyword(s):

Credit Risk ◽

Counterparty Credit Risk ◽

Risk Pricing ◽

Credit Risk Pricing

Download Full-text

Credit Risk Pricing Models

10.1007/978-3-540-24716-6 ◽

2004 ◽

Author(s):

Bernd Schmid

Keyword(s):

Credit Risk ◽

Pricing Models ◽

Risk Pricing ◽

Credit Risk Pricing

Download Full-text