Volume 13; Issue 12

Main
Quantitative Finance
Volume 13; Issue 12

Quantitative Finance

Volume 13; Issue 12

1

Forecasting credit ratings with the varying-coefficient model

Hwang, Ruey-Ching

Journal:

Quantitative Finance

Year:

2013

Language:

english

File:

PDF, 522 KB

english, 2013

2

A collateralized loan’s loss under a quadratic Gaussian default intensity process

Yamashita, Satoshi, Yoshiba, Toshinao

Journal:

Quantitative Finance

Year:

2013

Language:

english

File:

PDF, 379 KB

english, 2013

3

Credit gap risk in a first passage time model with jumps

Packham, Natalie, Schloegl, Lutz, Schmidt, Wolfgang M.

Journal:

Quantitative Finance

Year:

2013

Language:

english

File:

PDF, 750 KB

english, 2013

4

Pricing corporate debt with finite maturity and chapter 11 proceedings

Dai, Min, Jiang, Lishang, Lin, Jianwei

Journal:

Quantitative Finance

Year:

2013

Language:

english

File:

PDF, 460 KB

english, 2013

5

Default probability estimation in small samples—with an application to sovereign bonds

Journal:

Quantitative Finance

Year:

2013

Language:

english

File:

PDF, 299 KB

english, 2013

6

On the conditional default probability in a regulated market with jump risk

Bo, Lijun, Li, Xindan, Wang, Yongjin, Yang, Xuewei

Journal:

Quantitative Finance

Year:

2013

Language:

english

File:

PDF, 430 KB

english, 2013

7

On pricing basket credit default swaps

Gu, Jia-Wen, Ching, Wai-Ki, Siu, Tak-Kuen, Zheng, Harry

Journal:

Quantitative Finance

Year:

2013

Language:

english

File:

PDF, 391 KB

english, 2013

8

Interest rates and default in unsecured loan markets

Divino, Jose Angelo, Lima, Edna Souza, Orrillo, Jaime

Journal:

Quantitative Finance

Year:

2013

Language:

english

File:

PDF, 226 KB

english, 2013

9

Pricing equity and debt tranches of collateralized funds of hedge fund obligations: An approach based on stochastic time change and Esscher-transformed martingale measure

Tassinari, Gian Luca, Corradi, Corrado

Journal:

Quantitative Finance

Year:

2013

Language:

english

File:

PDF, 296 KB

english, 2013

10

Measuring marginal risk contributions in credit portfolios

Journal:

Quantitative Finance

Year:

2013

Language:

english

File:

PDF, 860 KB

english, 2013

11

Counterparty Credit Risk

Journal:

Quantitative Finance

Year:

2013

Language:

english

File:

PDF, 204 KB

english, 2013

12

Modeling of commercial real estate credit risks

Journal:

Quantitative Finance

Year:

2013

Language:

english

File:

PDF, 288 KB

english, 2013

13

The impact of different correlation approaches on valuing credit default swaps with counterparty risk

Meissner, Gunter, Rooder, Seth, Fan, Kristofor

Journal:

Quantitative Finance

Year:

2013

Language:

english

File:

PDF, 448 KB

english, 2013

14

Calendar

Journal:

Quantitative Finance

Year:

2013

Language:

english

File:

PDF, 167 KB

english, 2013

15

Editorial Board

Journal:

Quantitative Finance

Year:

2013

Language:

english

File:

PDF, 185 KB

english, 2013