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Volume 13, Issue 12

Quantitative Finance

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Quantitative Finance, Volume 13, Issue 12 (2013)

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Quantitative Finance, Volume 13, Issue 12 (2013)

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Vol 24, 2024 Vol 23, 2023 Vol 22, 2022 Vol 21, 2021 Vol 20, 2020 Vol 19, 2019 Vol 18, 2018 Vol 17, 2017 Vol 16, 2016 Vol 15, 2015 Vol 14, 2014 Volume 13, 2013 Vol 12, 2012 Vol 11, 2011 Vol 10, 2010 Vol 9, 2009 Vol 8, 2008 Vol 7, 2007 Vol 6, 2006 Vol 5, 2005 Vol 4, 2004 Vol 3, 2003 Vol 2, 2002 Vol 1, 2001

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Themed Issue on Credit

Features

On pricing basket credit default swaps

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

Pages: 1845-1854

Published online: 10 Dec 2013

First Page PreviewforOn pricing basket credit default swaps | Full Text | References | PDF (325.5 KB)

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Pricing corporate debt with finite maturity and chapter 11 proceedings

Min Dai, Lishang Jiang & Jianwei Lin

Pages: 1855-1861

Published online: 10 Dec 2013

First Page PreviewforPricing corporate debt with finite maturity and chapter 11 proceedings | Full Text | References | PDF (397.4 KB)

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Book Review

Counterparty Credit Risk

Samim Ghamami

Pages: 1863-1865

Published online: 09 Jun 2013

First Page PreviewforCounterparty Credit Risk | Full Text | References | PDF (171.9 KB)

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Free Access

Calendar

Page: 1867

Published online: 10 Dec 2013

CitationforCalendar | Full Text | PDF (46.8 KB)

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Research Papers

Article

Credit gap risk in a first passage time model with jumps

Natalie Packham, Lutz Schloegl & Wolfgang M. Schmidt

Pages: 1871-1889

Published online: 27 Feb 2013

AbstractforCredit gap risk in a first passage time model with jumps | Full Text | References | PDF (679.2 KB)

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Article

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

Walter Orth

Pages: 1891-1902

Published online: 26 Jun 2013

AbstractforDefault probability estimation in small samples—with an application to sovereign bonds | Full Text | References | PDF (224.3 KB)

249 Views
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Article

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

Gunter Meissner, Seth Rooder & Kristofor Fan

Pages: 1903-1913

Published online: 18 Mar 2013

AbstractforThe impact of different correlation approaches on valuing credit default swaps with counterparty risk | Full Text | References | PDF (447.6 KB)

253 Views
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Article

Measuring marginal risk contributions in credit portfolios

Thomas Siller

Pages: 1915-1923

Published online: 24 Jul 2013

AbstractforMeasuring marginal risk contributions in credit portfolios | Full Text | References | PDF (826.6 KB)

349 Views
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Article

Interest rates and default in unsecured loan markets

Jose Angelo Divino, Edna Souza Lima & Jaime Orrillo

Pages: 1925-1934

Published online: 14 Jan 2013

AbstractforInterest rates and default in unsecured loan markets | Full Text | References | PDF (170.3 KB)

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Article

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

Satoshi Yamashita & Toshinao Yoshiba

Pages: 1935-1946

Published online: 26 Jun 2013

AbstractforA collateralized loan’s loss under a quadratic Gaussian default intensity process | Full Text | References | PDF (319.8 KB)

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Article

Forecasting credit ratings with the varying-coefficient model

Ruey-Ching Hwang

Pages: 1947-1965

Published online: 11 Jan 2013

AbstractforForecasting credit ratings with the varying-coefficient model | Full Text | References | PDF (457.9 KB)

449 Views
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Article

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

Lijun Bo, Xindan Li, Yongjin Wang & Xuewei Yang

Pages: 1967-1975

Published online: 24 Jul 2013

AbstractforOn the conditional default probability in a regulated market with jump risk | Full Text | References | PDF (349.9 KB)

267 Views
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Article

Modeling of commercial real estate credit risks

Yong Kim

Pages: 1977-1989

Published online: 26 Aug 2011

AbstractforModeling of commercial real estate credit risks | Full Text | References | PDF (231.5 KB)

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Article

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

Gian Luca Tassinari & Corrado Corradi

Pages: 1991-2010

Published online: 18 Mar 2013

AbstractforPricing equity and debt tranches of collateralized funds of hedge fund obligations: An approach based on stochastic time change and Esscher-transformed martingale measure | Full Text | References | PDF (260.9 KB)

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Editorial Board

Page: ebi

Published online: 10 Dec 2013

CitationforEditorial Board | Full Text | PDF (66.4 KB)

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Quantitative Finance (Vol.13, Iss.12, 2013)

Themed Issue on Credit

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