1

A Simple Traffic Light Approach to Backtesting Expected Shortfall

Year:
2018
Language:
english
File:
PDF, 313 KB
english, 2018
2

Bond and CDS Pricing via the Stochastic Recovery Black-Cox Model

Year:
2017
Language:
english
File:
PDF, 350 KB
english, 2017
4

Bond and CDS Pricing with Recovery Risk I: The Stochastic Recovery Merton Model

Year:
2014
Language:
english
File:
PDF, 367 KB
english, 2014
5

Backtesting General Spectral Risk Measures with Application to Expected Shortfall

Year:
2014
Language:
english
File:
PDF, 256 KB
english, 2014
6

A General Framework for Incorporating Stochastic Recovery in Structural Models of Credit Risk

Year:
2017
Language:
english
File:
PDF, 402 KB
english, 2017
8

Empirical Performance of Backtesting Methods for Expected Shortfall

Year:
2015
Language:
english
File:
PDF, 1.10 MB
english, 2015