Chen, Peter Huaiyu; Liu, Sheen; Wu, Chunchi Estimating the tax-timing option value of corporate bonds. (English) Zbl 07283340 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific (ISBN 978-981-12-0244-5/hbk; 978-981-12-0238-4/set; 978-981-12-0240-7/ebook). 4383-4419 (2021). MSC: 91G50 91G40 PDF BibTeX XML Cite \textit{P. H. Chen} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 4383--4419 (2021; Zbl 07283340) Full Text: DOI
Lee, Cheng Few; Yu, Hai-Chin Application of discriminant analysis, factor analysis, logistic regression, and KMV-Merton model in credit risk analysis. (English) Zbl 1451.62111 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 4313-4348 (2021). MSC: 62P05 91G40 PDF BibTeX XML Cite \textit{C. F. Lee} and \textit{H.-C. Yu}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 4313--4348 (2021; Zbl 1451.62111) Full Text: DOI
Chen, Yu-Ting; Lee, Cheng Few; Sheu, Yuan-Chung An integral equation approach for bond prices with applications to credit spreads. (English) Zbl 07283322 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific (ISBN 978-981-12-0244-5/hbk; 978-981-12-0238-4/set; 978-981-12-0240-7/ebook). 3849-3866 (2021). MSC: 91G20 91G40 60J74 60H20 PDF BibTeX XML Cite \textit{Y.-T. Chen} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 3849--3866 (2021; Zbl 07283322) Full Text: DOI
Teng, Huei-Wen; Lee, Michael Estimation procedures of using five alternative machine learning methods for predicting credit card default. (English) Zbl 07283313 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific (ISBN 978-981-12-0244-5/hbk; 978-981-12-0238-4/set; 978-981-12-0240-7/ebook). 3545-3572 (2021). MSC: 91G40 91G80 68T05 PDF BibTeX XML Cite \textit{H.-W. Teng} and \textit{M. Lee}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 3545--3572 (2021; Zbl 07283313) Full Text: DOI
Lee, Cheng Few Credit analysis, bond rating forecasting, and default probability estimation. (English) Zbl 07283290 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific (ISBN 978-981-12-0243-8/hbk; 978-981-12-0238-4/set; 978-981-12-0240-7/ebook). 2635-2671 (2021). MSC: 91G40 91G20 62P05 62H25 PDF BibTeX XML Cite \textit{C. F. Lee}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 2635--2671 (2021; Zbl 07283290) Full Text: DOI
Agoraki, Maria-Eleni K.; Georgoutsos, Dimitris A.; Moratis, George T. Determinants of Euro-area bank CDS spreads. (English) Zbl 07283272 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific (ISBN 978-981-12-0242-1/hbk; 978-981-12-0238-4/set; 978-981-12-0240-7/ebook). 2161-2198 (2021). MSC: 91G40 91G20 62P05 PDF BibTeX XML Cite \textit{M.-E. K. Agoraki} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 2161--2198 (2021; Zbl 07283272) Full Text: DOI
Lee, Han-Hsing; Chen, Ren-Raw; Lee, Cheng Few Empirical studies of structural credit risk models and the application in default prediction: review and new evidence. (English) Zbl 1451.91214 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1845-1901 (2021). MSC: 91G40 PDF BibTeX XML Cite \textit{H.-H. Lee} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1845--1901 (2021; Zbl 1451.91214) Full Text: DOI
Pasricha, Puneet; Lu, Xiaoping; Zhu, Song-Ping A note on the calculation of default probabilities in “Structural credit risk modeling with Hawkes jump-diffusion processes”. (English) Zbl 1447.91187 J. Comput. Appl. Math. 381, Article ID 113037, 7 p. (2021). MSC: 91G40 60G55 PDF BibTeX XML Cite \textit{P. Pasricha} et al., J. Comput. Appl. Math. 381, Article ID 113037, 7 p. (2021; Zbl 1447.91187) Full Text: DOI
Hisakado, Masato; Kaneko, Takuya A response function of Merton model and kinetic Ising model. (English) Zbl 07306691 Pichl, Lukáš (ed.) et al., Advanced studies of financial technologies and cryptocurrency markets. Springer: Singapore (ISBN 978-981-15-4497-2/hbk; 978-981-15-4498-9/ebook). 89-100 (2020). MSC: 91G40 91G45 PDF BibTeX XML Cite \textit{M. Hisakado} and \textit{T. Kaneko}, in: Advanced studies of financial technologies and cryptocurrency markets. Springer: Singapore. 89--100 (2020; Zbl 07306691) Full Text: DOI
Liu, Ao; Deng, Xudong; Tong, Zeping; Ren, Liang Research advances in peer-to-peer lending. (Chinese. English summary) Zbl 07295778 J. Syst. Eng. 35, No. 3, 402-415 (2020). MSC: 91G40 91D30 PDF BibTeX XML Cite \textit{A. Liu} et al., J. Syst. Eng. 35, No. 3, 402--415 (2020; Zbl 07295778) Full Text: DOI
Deng, Chao; Bian, Wenlong; Wu, Baiyi Optimal reinsurance and investment problem with default risk and bounded memory. (English) Zbl 07290342 Int. J. Control 93, No. 12, 2982-2994 (2020). Reviewer: Pavel Stoynov (Sofia) MSC: 91G05 93E20 PDF BibTeX XML Cite \textit{C. Deng} et al., Int. J. Control 93, No. 12, 2982--2994 (2020; Zbl 07290342) Full Text: DOI
Liu, Sheen; Qi, Howard; Xie, Yan Alice From equity to default correlation with taxes. (English) Zbl 07282782 Quant. Finance 20, No. 8, 1373-1388 (2020). MSC: 91G10 91G20 91G40 PDF BibTeX XML Cite \textit{S. Liu} et al., Quant. Finance 20, No. 8, 1373--1388 (2020; Zbl 07282782) Full Text: DOI
Wu, Yang-Che; Chen, Ting-Fu; Lin, Shih-Kuei Risk management of deposit insurance corporations with risk-based premiums and credit default swaps. (English) Zbl 07282766 Quant. Finance 20, No. 7, 1085-1100 (2020). MSC: 91G05 91G20 91G40 PDF BibTeX XML Cite \textit{Y.-C. Wu} et al., Quant. Finance 20, No. 7, 1085--1100 (2020; Zbl 07282766) Full Text: DOI
Bihary, Zsolt; Nagy, Noémi; Simon, L. Péter Network model for joined default probabilities. (Hungarian. English summary) Zbl 07254916 Alkalmazott Mat. Lapok 37, No. 1, 51-69 (2020). MSC: 37N40 90B15 62P20 91B30 PDF BibTeX XML Cite \textit{Z. Bihary} et al., Alkalmazott Mat. Lapok 37, No. 1, 51--69 (2020; Zbl 07254916) Full Text: DOI
Sariev, Eduard; Germano, Guido Bayesian regularized artificial neural networks for the estimation of the probability of default. (English) Zbl 1448.91314 Quant. Finance 20, No. 2, 311-328 (2020). MSC: 91G40 91-08 PDF BibTeX XML Cite \textit{E. Sariev} and \textit{G. Germano}, Quant. Finance 20, No. 2, 311--328 (2020; Zbl 1448.91314) Full Text: DOI
Hambly, Ben; Kolliopoulos, Nikolaos Fast mean-reversion asymptotics for large portfolios of stochastic volatility models. (English) Zbl 1447.91161 Finance Stoch. 24, No. 3, 757-794 (2020). MSC: 91G10 60H15 PDF BibTeX XML Cite \textit{B. Hambly} and \textit{N. Kolliopoulos}, Finance Stoch. 24, No. 3, 757--794 (2020; Zbl 1447.91161) Full Text: DOI
Palmowski, Zbigniew; Surya, Budhi A. Optimal valuation of American callable credit default swaps under drawdown of Lévy insurance risk process. (English) Zbl 1446.91070 Insur. Math. Econ. 93, 168-177 (2020). MSC: 91G05 60G51 91G40 91G20 60G40 PDF BibTeX XML Cite \textit{Z. Palmowski} and \textit{B. A. Surya}, Insur. Math. Econ. 93, 168--177 (2020; Zbl 1446.91070) Full Text: DOI
Gapeev, Pavel V.; Jeanblanc, Monique Credit default swaps in two-dimensional models with various informations flows. (English) Zbl 1444.91217 Int. J. Theor. Appl. Finance 23, No. 2, Article ID 2050010, 28 p. (2020). Reviewer: George Stoica (Saint John) MSC: 91G40 91G20 PDF BibTeX XML Cite \textit{P. V. Gapeev} and \textit{M. Jeanblanc}, Int. J. Theor. Appl. Finance 23, No. 2, Article ID 2050010, 28 p. (2020; Zbl 1444.91217) Full Text: DOI Link
De Marco, Giuseppe; Donnini, Chiara; Gioia, Federica; Perla, Francesca On the fictitious default algorithm in fuzzy financial networks. (English) Zbl 1451.91219 Int. J. Approx. Reasoning 121, 85-102 (2020). MSC: 91G45 91B86 91G80 PDF BibTeX XML Cite \textit{G. De Marco} et al., Int. J. Approx. Reasoning 121, 85--102 (2020; Zbl 1451.91219) Full Text: DOI
Amini, Hamed; Filipović, Damir; Minca, Andreea Systemic risk in networks with a central node. (English) Zbl 1443.91315 SIAM J. Financ. Math. 11, No. 1, 60-98 (2020). MSC: 91G45 91B26 PDF BibTeX XML Cite \textit{H. Amini} et al., SIAM J. Financ. Math. 11, No. 1, 60--98 (2020; Zbl 1443.91315) Full Text: DOI
Wang, Xingchun; Xu, Guangli; Li, Dan A closed-form GARCH valuation model for power exchange options with counterparty risk. (English) Zbl 1443.91302 Probab. Eng. Inf. Sci. 34, No. 2, 279-296 (2020). MSC: 91G20 91G45 62P05 PDF BibTeX XML Cite \textit{X. Wang} et al., Probab. Eng. Inf. Sci. 34, No. 2, 279--296 (2020; Zbl 1443.91302) Full Text: DOI
Pancrazi, Roberto; Seoane, Hernán D.; Vukotić, Marija Welfare gains of bailouts in a sovereign default model. (English) Zbl 07202057 J. Econ. Dyn. Control 113, Article ID 103867, 22 p. (2020). MSC: 91 PDF BibTeX XML Cite \textit{R. Pancrazi} et al., J. Econ. Dyn. Control 113, Article ID 103867, 22 p. (2020; Zbl 07202057) Full Text: DOI
Dávila, Eduardo Using elasticities to derive optimal bankruptcy exemptions. (English) Zbl 1437.91442 Rev. Econ. Stud. 87, No. 2, 870-913 (2020). MSC: 91G40 PDF BibTeX XML Cite \textit{E. Dávila}, Rev. Econ. Stud. 87, No. 2, 870--913 (2020; Zbl 1437.91442) Full Text: DOI
Song, Shiyu; Wang, Yongjin; Xu, Guangli On the probability of default in a market with price clustering and jump risk. (English) Zbl 1437.91443 Math. Financ. Econ. 14, No. 2, 225-247 (2020). MSC: 91G40 60J76 44A10 PDF BibTeX XML Cite \textit{S. Song} et al., Math. Financ. Econ. 14, No. 2, 225--247 (2020; Zbl 1437.91443) Full Text: DOI
Albanese, Claudio; Armenti, Yannick; Crépey, Stéphane XVA metrics for CCP optimization. (English) Zbl 07191842 Stat. Risk. Model. 37, No. 1-2, 25-53 (2020). MSC: 60G44 91B25 91B26 91B30 91B70 91B74 91G20 91G40 91G60 91G80 PDF BibTeX XML Cite \textit{C. Albanese} et al., Stat. Risk. Model. 37, No. 1--2, 25--53 (2020; Zbl 07191842) Full Text: DOI
Russo, Vincenzo; Lagasio, Valentina; Brogi, Marina; Fabozzi, Frank J. Application of the Merton model to estimate the probability of breaching the capital requirements under Basel III rules. (English) Zbl 1437.91435 Ann. Finance 16, No. 1, 141-157 (2020). MSC: 91G20 91G40 91G45 PDF BibTeX XML Cite \textit{V. Russo} et al., Ann. Finance 16, No. 1, 141--157 (2020; Zbl 1437.91435) Full Text: DOI
Wang, Anjiao The pricing of total return swap under default contagion models with jump-diffusion interest rate risk. (English) Zbl 07187899 Indian J. Pure Appl. Math. 51, No. 1, 361-373 (2020). MSC: 60H30 60J60 60J76 91G20 91G40 PDF BibTeX XML Cite \textit{A. Wang}, Indian J. Pure Appl. Math. 51, No. 1, 361--373 (2020; Zbl 07187899) Full Text: DOI
Zhu, Jiaqi; Guan, Guohui; Li, Shenghong Time-consistent non-zero-sum stochastic differential reinsurance and investment game under default and volatility risks. (English) Zbl 1435.91168 J. Comput. Appl. Math. 374, Article ID 112737, 18 p. (2020). MSC: 91G05 91A15 91A80 PDF BibTeX XML Cite \textit{J. Zhu} et al., J. Comput. Appl. Math. 374, Article ID 112737, 18 p. (2020; Zbl 1435.91168) Full Text: DOI
Guha, Rajiv; Sbuelz, Alessandro; Tarelli, Andrea Structural recovery of face value at default. (English) Zbl 1441.91086 Eur. J. Oper. Res. 283, No. 3, 1148-1171 (2020). MSC: 91G50 PDF BibTeX XML Cite \textit{R. Guha} et al., Eur. J. Oper. Res. 283, No. 3, 1148--1171 (2020; Zbl 1441.91086) Full Text: DOI
Chen, An; Hieber, Peter; Lämmlein, Lars Regulatory measures for distressed insurance undertakings: a comparative study. (English) Zbl 1430.91074 Scand. Actuar. J. 2020, No. 1, 30-43 (2020). MSC: 91G05 PDF BibTeX XML Cite \textit{A. Chen} et al., Scand. Actuar. J. 2020, No. 1, 30--43 (2020; Zbl 1430.91074) Full Text: DOI
Ackerer, Damien; Filipović, Damir Linear credit risk models. (English) Zbl 1445.91066 Finance Stoch. 24, No. 1, 169-214 (2020). Reviewer: John O’Hara (Colchester) MSC: 91G40 91G20 91G60 62P05 62N02 PDF BibTeX XML Cite \textit{D. Ackerer} and \textit{D. Filipović}, Finance Stoch. 24, No. 1, 169--214 (2020; Zbl 1445.91066) Full Text: DOI
Yu, Zuwei; Bin, Deng Can contract of credit default swaps mitigate moral hazard? (English) Zbl 1451.91216 Proc. Natl. Acad. Sci. India, Sect. A, Phys. Sci. 89, No. 2, 323-330 (2019). MSC: 91G40 PDF BibTeX XML Cite \textit{Z. Yu} and \textit{D. Bin}, Proc. Natl. Acad. Sci. India, Sect. A, Phys. Sci. 89, No. 2, 323--330 (2019; Zbl 1451.91216) Full Text: DOI
Zaevski, Tsvetelin S.; Kounchev, Ognyan; Savov, Mladen Two frameworks for pricing defaultable derivatives. (English) Zbl 1448.91304 Chaos Solitons Fractals 123, 309-319 (2019). MSC: 91G20 91G40 60G40 60H15 PDF BibTeX XML Cite \textit{T. S. Zaevski} et al., Chaos Solitons Fractals 123, 309--319 (2019; Zbl 1448.91304) Full Text: DOI
Nataf, Olivier; De Moor, Lieven Debt rating downgrades of financial institutions: causality tests on single-issue CDS and iTraxx. (English) Zbl 1441.91083 Quant. Finance 19, No. 12, 1975-1993 (2019). MSC: 91G40 91G20 PDF BibTeX XML Cite \textit{O. Nataf} and \textit{L. De Moor}, Quant. Finance 19, No. 12, 1975--1993 (2019; Zbl 1441.91083) Full Text: DOI
Jiang, Chunmei The pricing of basket options with default risk. (English) Zbl 1449.91153 Acta Sci. Nat. Univ. Nankaiensis 52, No. 6, 71-83 (2019). MSC: 91G20 91G40 PDF BibTeX XML Cite \textit{C. Jiang}, Acta Sci. Nat. Univ. Nankaiensis 52, No. 6, 71--83 (2019; Zbl 1449.91153)
Spiliopoulos, Konstantinos; Yang, Jia Network effects in default clustering for large systems. (English) Zbl 1437.91446 Appl. Math. Finance 26, No. 6, 523-582 (2019). MSC: 91G45 91G60 PDF BibTeX XML Cite \textit{K. Spiliopoulos} and \textit{J. Yang}, Appl. Math. Finance 26, No. 6, 523--582 (2019; Zbl 1437.91446) Full Text: DOI
Keller-Ressel, Martin; Schmidt, Thorsten; Wardenga, Robert Affine processes beyond stochastic continuity. (English) Zbl 1432.60073 Ann. Appl. Probab. 29, No. 6, 3387-3437 (2019). MSC: 60J25 91G20 PDF BibTeX XML Cite \textit{M. Keller-Ressel} et al., Ann. Appl. Probab. 29, No. 6, 3387--3437 (2019; Zbl 1432.60073) Full Text: DOI Euclid
Ichiba, Tomoyuki; Ludkovski, Michael; Sarantsev, Andrey Dynamic contagion in a banking system with births and defaults. (English) Zbl 1431.91421 Ann. Finance 15, No. 4, 489-538 (2019). MSC: 91G45 60J70 60J76 60J85 PDF BibTeX XML Cite \textit{T. Ichiba} et al., Ann. Finance 15, No. 4, 489--538 (2019; Zbl 1431.91421) Full Text: DOI
Mai, Jan-Frederik Pricing-hedging duality for credit default swaps and the negative basis arbitrage. (English) Zbl 1426.91289 Int. J. Theor. Appl. Finance 22, No. 6, Article ID 1950032, 17 p. (2019). MSC: 91G40 91G20 91G10 PDF BibTeX XML Cite \textit{J.-F. Mai}, Int. J. Theor. Appl. Finance 22, No. 6, Article ID 1950032, 17 p. (2019; Zbl 1426.91289) Full Text: DOI
Russo, Vincenzo; Giacometti, Rosella; Fabozzi, Frank J. Market implied volatilities for defaultable bonds. (English) Zbl 1426.91277 Ann. Oper. Res. 275, No. 2, 669-683 (2019). MSC: 91G20 91G40 91G30 PDF BibTeX XML Cite \textit{V. Russo} et al., Ann. Oper. Res. 275, No. 2, 669--683 (2019; Zbl 1426.91277) Full Text: DOI
Xu, Xiu; Chen, Cathy Yi-Hsuan; Härdle, Wolfgang Karl Dynamic credit default swap curves in a network topology. (English) Zbl 1422.91748 Quant. Finance 19, No. 10, 1705-1726 (2019). MSC: 91G40 91G20 PDF BibTeX XML Cite \textit{X. Xu} et al., Quant. Finance 19, No. 10, 1705--1726 (2019; Zbl 1422.91748) Full Text: DOI
Borri, Nicola Redenomination-risk spillovers in the eurozone. (English) Zbl 1422.91682 Econ. Lett. 174, 173-178 (2019). MSC: 91G20 91G40 PDF BibTeX XML Cite \textit{N. Borri}, Econ. Lett. 174, 173--178 (2019; Zbl 1422.91682) Full Text: DOI
Yu, Chao; Liu, Yang; Fan, Zhiping Decision making method for order acceptance considering risk propagation. (Chinese. English summary) Zbl 1438.90204 Control Decis. 34, No. 3, 611-619 (2019). MSC: 90B50 91B05 PDF BibTeX XML Cite \textit{C. Yu} et al., Control Decis. 34, No. 3, 611--619 (2019; Zbl 1438.90204) Full Text: DOI
Du, Junhong; Li, Zhiming; Wu, Lijun Optimal reinsurance design of the implicit default risk of the reinsurance company under Wang’s premium principle. (Chinese. English summary) Zbl 1438.91106 Chin. J. Appl. Probab. Stat. 35, No. 1, 73-85 (2019). MSC: 91G05 91G70 PDF BibTeX XML Cite \textit{J. Du} et al., Chin. J. Appl. Probab. Stat. 35, No. 1, 73--85 (2019; Zbl 1438.91106) Full Text: DOI
Arakelian, Veni; Dellaportas, Petros; Savona, Roberto; Vezzoli, Marika Sovereign risk zones in Europe during and after the debt crisis. (English) Zbl 1420.91486 Quant. Finance 19, No. 6, 961-980 (2019). MSC: 91G40 91G20 62P05 91-08 PDF BibTeX XML Cite \textit{V. Arakelian} et al., Quant. Finance 19, No. 6, 961--980 (2019; Zbl 1420.91486) Full Text: DOI
Zhao, Hui; Shen, Yang; Zeng, Yan; Zhang, Wenjun Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean-variance insurer with ambiguity aversion. (English) Zbl 1425.91238 Insur. Math. Econ. 88, 159-180 (2019). MSC: 91B30 91G40 91A80 PDF BibTeX XML Cite \textit{H. Zhao} et al., Insur. Math. Econ. 88, 159--180 (2019; Zbl 1425.91238) Full Text: DOI
Jang, Bong-Gyu; Koo, Hyeng Keun; Park, Seyoung Optimal consumption and investment with insurer default risk. (English) Zbl 1425.91225 Insur. Math. Econ. 88, 44-56 (2019). MSC: 91B30 91G10 PDF BibTeX XML Cite \textit{B.-G. Jang} et al., Insur. Math. Econ. 88, 44--56 (2019; Zbl 1425.91225) Full Text: DOI
Banerjee, Tathagata; Feinstein, Zachary Impact of contingent payments on systemic risk in financial networks. (English) Zbl 1422.91740 Math. Financ. Econ. 13, No. 4, 617-636 (2019). MSC: 91G40 91B30 PDF BibTeX XML Cite \textit{T. Banerjee} and \textit{Z. Feinstein}, Math. Financ. Econ. 13, No. 4, 617--636 (2019; Zbl 1422.91740) Full Text: DOI
Zhou, Qing; Yang, Jiao-Jiao; Wu, Wei-Xing Pricing vulnerable options with correlated credit risk under jump-diffusion processes when corporate liabilities are random. (English) Zbl 1418.60067 Acta Math. Appl. Sin., Engl. Ser. 35, No. 2, 305-318 (2019). MSC: 60H10 60J75 60J70 PDF BibTeX XML Cite \textit{Q. Zhou} et al., Acta Math. Appl. Sin., Engl. Ser. 35, No. 2, 305--318 (2019; Zbl 1418.60067) Full Text: DOI
Seoane, Hernán D. Time-varying volatility, default, and the sovereign risk premium. (English) Zbl 1422.91541 Int. Econ. Rev. 60, No. 1, 283-301 (2019). MSC: 91B64 PDF BibTeX XML Cite \textit{H. D. Seoane}, Int. Econ. Rev. 60, No. 1, 283--301 (2019; Zbl 1422.91541) Full Text: DOI
Madeira, Carlos Measuring the covariance risk of consumer debt portfolios. (English) Zbl 07080140 J. Econ. Dyn. Control 104, 21-38 (2019). MSC: 62P05 91G40 PDF BibTeX XML Cite \textit{C. Madeira}, J. Econ. Dyn. Control 104, 21--38 (2019; Zbl 07080140) Full Text: DOI
Brigo, Damiano; Pede, Nicola; Petrelli, Andrea Multi-currency credit default swaps. (English) Zbl 1411.91546 Int. J. Theor. Appl. Finance 22, No. 4, Article ID 1950018, 35 p. (2019). MSC: 91G20 91G40 91B64 PDF BibTeX XML Cite \textit{D. Brigo} et al., Int. J. Theor. Appl. Finance 22, No. 4, Article ID 1950018, 35 p. (2019; Zbl 1411.91546) Full Text: DOI
Hippert, Benjamin; Uhde, André; Wengerek, Sascha Tobias Portfolio benefits of adding corporate credit default swap indices: evidence from North America and Europe. (English) Zbl 1415.91263 Rev. Deriv. Res. 22, No. 2, 203-259 (2019). MSC: 91G10 91G20 91G40 PDF BibTeX XML Cite \textit{B. Hippert} et al., Rev. Deriv. Res. 22, No. 2, 203--259 (2019; Zbl 1415.91263) Full Text: DOI
Pasricha, Puneet; Goel, Anubha Pricing vulnerable power exchange options in an intensity based framework. (English) Zbl 1410.91461 J. Comput. Appl. Math. 355, 106-115 (2019). MSC: 91G20 91G40 60J75 91G60 PDF BibTeX XML Cite \textit{P. Pasricha} and \textit{A. Goel}, J. Comput. Appl. Math. 355, 106--115 (2019; Zbl 1410.91461) Full Text: DOI
Ambrose, Brent W.; Emmerling, Thomas; Huang, Henry H.; Yildirim, Yildiray Capital structure and the substitutability versus complementarity nature of leases and debt. (English) Zbl 1414.91396 Rev. Finance 23, No. 3, 659-695 (2019). MSC: 91G40 PDF BibTeX XML Cite \textit{B. W. Ambrose} et al., Rev. Finance 23, No. 3, 659--695 (2019; Zbl 1414.91396) Full Text: DOI
Campello, Murillo; Ladika, Tomislav; Matta, Rafael Renegotiation frictions and financial distress resolution: evidence from CDS spreads. (English) Zbl 1414.91364 Rev. Finance 23, No. 3, 513-556 (2019). MSC: 91G20 91G40 PDF BibTeX XML Cite \textit{M. Campello} et al., Rev. Finance 23, No. 3, 513--556 (2019; Zbl 1414.91364) Full Text: DOI
Chava, Sudheer; Ganduri, Rohan; Ornthanalai, Chayawat Do credit default swaps mitigate the impact of credit rating downgrades? (English) Zbl 1414.91365 Rev. Finance 23, No. 3, 471-511 (2019). MSC: 91G20 91G40 PDF BibTeX XML Cite \textit{S. Chava} et al., Rev. Finance 23, No. 3, 471--511 (2019; Zbl 1414.91365) Full Text: DOI
Li, Chen; Li, Xiaohu Preservation of WSAI under default transforms and its application in allocating assets with dependent realizable returns. (English) Zbl 1411.91518 Insur. Math. Econ. 86, 84-91 (2019). MSC: 91G10 91B30 PDF BibTeX XML Cite \textit{C. Li} and \textit{X. Li}, Insur. Math. Econ. 86, 84--91 (2019; Zbl 1411.91518) Full Text: DOI
Itkin, A.; Shcherbakov, V.; Veygman, A. New model for pricing quanto credit default swaps. (English) Zbl 1411.91561 Int. J. Theor. Appl. Finance 22, No. 3, Article ID 1950003, 37 p. (2019). MSC: 91G20 91G40 91G60 PDF BibTeX XML Cite \textit{A. Itkin} et al., Int. J. Theor. Appl. Finance 22, No. 3, Article ID 1950003, 37 p. (2019; Zbl 1411.91561) Full Text: DOI
Kusnetsov, Michael; Veraart, Luitgard Anna Maria Interbank clearing in financial networks with multiple maturities. (English) Zbl 1411.91644 SIAM J. Financ. Math. 10, No. 1, 37-67 (2019). MSC: 91G99 90B10 91-04 PDF BibTeX XML Cite \textit{M. Kusnetsov} and \textit{L. A. M. Veraart}, SIAM J. Financ. Math. 10, No. 1, 37--67 (2019; Zbl 1411.91644) Full Text: DOI
Bo, Lijun; Liao, Huafu; Wang, Yongjin Optimal credit investment and risk control for an insurer with regime-switching. (English) Zbl 1411.91267 Math. Financ. Econ. 13, No. 1, 147-172 (2019). MSC: 91B30 91G40 PDF BibTeX XML Cite \textit{L. Bo} et al., Math. Financ. Econ. 13, No. 1, 147--172 (2019; Zbl 1411.91267) Full Text: DOI
Liu, Wen-Qiong; Huang, Wen-Li Hedging of synthetic CDO tranches with spread and default risk based on a combined forecasting approach. (English) Zbl 1411.91574 Int. J. Theor. Appl. Finance 22, No. 2, Article ID 1850057, 17 p. (2019). MSC: 91G20 91G40 03E72 PDF BibTeX XML Cite \textit{W.-Q. Liu} and \textit{W.-L. Huang}, Int. J. Theor. Appl. Finance 22, No. 2, Article ID 1850057, 17 p. (2019; Zbl 1411.91574) Full Text: DOI
Mercadier, Mathieu; Lardy, Jean-Pierre Credit spread approximation and improvement using random forest regression. (English) Zbl 1431.91415 Eur. J. Oper. Res. 277, No. 1, 351-365 (2019). MSC: 91G40 91G20 PDF BibTeX XML Cite \textit{M. Mercadier} and \textit{J.-P. Lardy}, Eur. J. Oper. Res. 277, No. 1, 351--365 (2019; Zbl 1431.91415) Full Text: DOI
Amaya, Diego; Boudreault, Mathieu; McLeish, Don L. Maximum likelihood estimation of first-passage structural credit risk models correcting for the survivorship bias. (English) Zbl 1411.91593 J. Econ. Dyn. Control 100, 297-313 (2019). MSC: 91G40 62P05 PDF BibTeX XML Cite \textit{D. Amaya} et al., J. Econ. Dyn. Control 100, 297--313 (2019; Zbl 1411.91593) Full Text: DOI
Nadtochiy, Sergey; Shkolnikov, Mykhaylo Particle systems with singular interaction through hitting times: application in systemic risk modeling. (English) Zbl 1417.35204 Ann. Appl. Probab. 29, No. 1, 89-129 (2019). Reviewer: Rodica Luca (Iaşi) MSC: 35Q91 35B65 35K20 82C22 91G80 35B44 PDF BibTeX XML Cite \textit{S. Nadtochiy} and \textit{M. Shkolnikov}, Ann. Appl. Probab. 29, No. 1, 89--129 (2019; Zbl 1417.35204) Full Text: DOI Euclid arXiv
Rodrigues, Matheus Pimentel; Maialy, Andre Cury Measuring default risk for a portfolio of equities. (English) Zbl 1419.91592 Int. J. Theor. Appl. Finance 22, No. 1, Article ID 1950012, 21 p. (2019). MSC: 91G10 91G70 PDF BibTeX XML Cite \textit{M. P. Rodrigues} and \textit{A. C. Maialy}, Int. J. Theor. Appl. Finance 22, No. 1, Article ID 1950012, 21 p. (2019; Zbl 1419.91592) Full Text: DOI
Tang, Qihe; Tang, Zhaofeng; Yang, Yang Sharp asymptotics for large portfolio losses under extreme risks. (English) Zbl 1431.91370 Eur. J. Oper. Res. 276, No. 2, 710-722 (2019). MSC: 91G10 91G45 PDF BibTeX XML Cite \textit{Q. Tang} et al., Eur. J. Oper. Res. 276, No. 2, 710--722 (2019; Zbl 1431.91370) Full Text: DOI
Jarrow, Robert; Li, Haitao; Ye, Xiaoxia; Hu, May Exploring mispricing in the term structure of CDS spreads. (English) Zbl 1407.91252 Rev. Finance 23, No. 1, 161-198 (2019). MSC: 91G20 91G40 62P05 PDF BibTeX XML Cite \textit{R. Jarrow} et al., Rev. Finance 23, No. 1, 161--198 (2019; Zbl 1407.91252) Full Text: DOI
Bo, Lijun; Liao, Huafu; Yu, Xiang Risk sensitive portfolio optimization with default contagion and regime-switching. (English) Zbl 1442.91085 SIAM J. Control Optim. 57, No. 1, 366-401 (2019). MSC: 91G10 91G45 60J20 90C39 PDF BibTeX XML Cite \textit{L. Bo} et al., SIAM J. Control Optim. 57, No. 1, 366--401 (2019; Zbl 1442.91085) Full Text: DOI arXiv Link
Wang, Ning; Zhang, Nan; Jin, Zhuo; Qian, Linyi Robust non-zero-sum investment and reinsurance game with default risk. (English) Zbl 1419.91386 Insur. Math. Econ. 84, 115-132 (2019). MSC: 91B30 91A15 PDF BibTeX XML Cite \textit{N. Wang} et al., Insur. Math. Econ. 84, 115--132 (2019; Zbl 1419.91386) Full Text: DOI
Lee, Min-Ku; Kim, Jeong-Hoon Pricing of defaultable options with multiscale generalized Heston’s stochastic volatility. (English) Zbl 07316157 Math. Comput. Simul. 144, 235-246 (2018). MSC: 91 60 PDF BibTeX XML Cite \textit{M.-K. Lee} and \textit{J.-H. Kim}, Math. Comput. Simul. 144, 235--246 (2018; Zbl 07316157) Full Text: DOI
He, Xin-Jiang; Chen, Wenting A Monte-Carlo based approach for pricing credit default swaps with regime switching. (English) Zbl 1431.91435 Comput. Math. Appl. 76, No. 7, 1758-1766 (2018). MSC: 91G60 65C05 91G40 91G20 PDF BibTeX XML Cite \textit{X.-J. He} and \textit{W. Chen}, Comput. Math. Appl. 76, No. 7, 1758--1766 (2018; Zbl 1431.91435) Full Text: DOI
Bonollo, Michele; Di Persio, Luca; Prezioso, Luca The default risk charge approach to regulatory risk measurement processes. (English) Zbl 1430.91122 Depend. Model. 6, 309-330 (2018). MSC: 91G40 91G70 91G60 65C05 PDF BibTeX XML Cite \textit{M. Bonollo} et al., Depend. Model. 6, 309--330 (2018; Zbl 1430.91122) Full Text: DOI
Christoffersen, Peter; Jacobs, Kris; Jin, Xisong; Langlois, Hugues Dynamic dependence and diversification in corporate credit. (English) Zbl 1425.91421 Rev. Finance 22, No. 2, 521-560 (2018). MSC: 91G40 91G50 62P05 62H05 PDF BibTeX XML Cite \textit{P. Christoffersen} et al., Rev. Finance 22, No. 2, 521--560 (2018; Zbl 1425.91421) Full Text: DOI
Krishnamurthy, Arvind; Nagel, Stefan; Vissing-Jorgensen, Annette ECB policies involving government bond purchases: impact and channels. (English) Zbl 1425.91325 Rev. Finance 22, No. 1, 1-44 (2018). MSC: 91B64 91G99 PDF BibTeX XML Cite \textit{A. Krishnamurthy} et al., Rev. Finance 22, No. 1, 1--44 (2018; Zbl 1425.91325) Full Text: DOI
Liang, Jin; Bao, Junli; Zeng, Chukun Pricing on a defaultable and callable corporate bond with credit rating migration under the structure framework. (Chinese. English summary) Zbl 1438.91175 J. Syst. Eng. 33, No. 6, 793-800, 822 (2018). MSC: 91G50 91G40 PDF BibTeX XML Cite \textit{J. Liang} et al., J. Syst. Eng. 33, No. 6, 793--800, 822 (2018; Zbl 1438.91175) Full Text: DOI
Yan, Li; Qin, Xiao’er Valuation of the stock loans with counterparty risk. (Chinese. English summary) Zbl 1424.91156 Math. Pract. Theory 48, No. 16, 18-22 (2018). MSC: 91G40 PDF BibTeX XML Cite \textit{L. Yan} and \textit{X. Qin}, Math. Pract. Theory 48, No. 16, 18--22 (2018; Zbl 1424.91156)
Zhao, Jing; Fang, Zhaoben On the relationship between stock liquidity and corporate bond credit spreads. (Chinese. English summary) Zbl 1424.91161 J. Univ. Sci. Technol. China 48, No. 8, 667-682 (2018). MSC: 91G50 91G40 PDF BibTeX XML Cite \textit{J. Zhao} and \textit{Z. Fang}, J. Univ. Sci. Technol. China 48, No. 8, 667--682 (2018; Zbl 1424.91161) Full Text: DOI
Dai, Wei; Serletis, Apostolos Oil price shocks and the credit default swap market. (English) Zbl 1412.91222 Open Econ. Rev. 29, No. 2, 283-293 (2018). MSC: 91G20 91G40 PDF BibTeX XML Cite \textit{W. Dai} and \textit{A. Serletis}, Open Econ. Rev. 29, No. 2, 283--293 (2018; Zbl 1412.91222) Full Text: DOI
Kaushansky, Vadim; Lipton, Alexander; Reisinger, Christoph Transition probability of Brownian motion in the octant and its application to default modelling. (English) Zbl 1411.91601 Appl. Math. Finance 25, No. 5-6, 434-465 (2018). MSC: 91G40 91G80 60J70 91-04 PDF BibTeX XML Cite \textit{V. Kaushansky} et al., Appl. Math. Finance 25, No. 5--6, 434--465 (2018; Zbl 1411.91601) Full Text: DOI
Diop, Sidy; Pascucci, Andrea; Di Francesco, Marco; De Marchi, Gian Luca Sovereign CDS calibration under a hybrid sovereign risk model. (English) Zbl 1411.91595 Appl. Math. Finance 25, No. 4, 336-360 (2018). MSC: 91G40 91G20 PDF BibTeX XML Cite \textit{S. Diop} et al., Appl. Math. Finance 25, No. 4, 336--360 (2018; Zbl 1411.91595) Full Text: DOI
Mukherjee, Avik; Mahata, Gour Chandra Optimal replenishment and credit policy in an inventory model for deteriorating items under two-levels of trade credit policy when demand depends on both time and credit period involving default risk. (English) Zbl 1411.90036 RAIRO, Oper. Res. 52, No. 4-5, 1175-1200 (2018). MSC: 90B05 PDF BibTeX XML Cite \textit{A. Mukherjee} and \textit{G. C. Mahata}, RAIRO, Oper. Res. 52, No. 4--5, 1175--1200 (2018; Zbl 1411.90036) Full Text: DOI
Lehdili, Noureddine; Givi, Arshia Efficient computation of Value-at-Risk and expected shortfall in large and heterogeneous credit portfolios: application to default risk charge. (English) Zbl 1409.91264 Risk Decis. Anal. 7, No. 3-4, 91-105 (2018). MSC: 91G40 91G70 PDF BibTeX XML Cite \textit{N. Lehdili} and \textit{A. Givi}, Risk Decis. Anal. 7, No. 3--4, 91--105 (2018; Zbl 1409.91264) Full Text: DOI
Zaevski, Tsvetelin; Kounchev, Ognyan A jump moment as a stopping time and defaultable derivatives. (English) Zbl 1424.35326 C. R. Acad. Bulg. Sci. 71, No. 9, 1186-1191 (2018). Reviewer: Angela Slavova (Sofia) MSC: 35Q91 60G44 91G20 91G40 PDF BibTeX XML Cite \textit{T. Zaevski} and \textit{O. Kounchev}, C. R. Acad. Bulg. Sci. 71, No. 9, 1186--1191 (2018; Zbl 1424.35326)
Zhou, Qing; Wang, Qian; Wu, Weixing Pricing vulnerable options with variable default boundary under jump-diffusion processes. (English) Zbl 1448.91317 Adv. Difference Equ. 2018, Paper No. 465, 21 p. (2018). MSC: 91G40 91G20 91G50 60H30 PDF BibTeX XML Cite \textit{Q. Zhou} et al., Adv. Difference Equ. 2018, Paper No. 465, 21 p. (2018; Zbl 1448.91317) Full Text: DOI
Polena, Michal; Regner, Tobias Determinants of borrowers’ default in P2P lending under consideration of the loan risk class. (English) Zbl 1419.91635 Games 9, No. 4, Paper No. 82, 17 p. (2018). MSC: 91G40 62P05 PDF BibTeX XML Cite \textit{M. Polena} and \textit{T. Regner}, Games 9, No. 4, Paper No. 82, 17 p. (2018; Zbl 1419.91635) Full Text: DOI
Bielecki, Tomasz R.; Cialenco, Igor; Feng, Shibi A dynamic model of central counterparty risk. (English) Zbl 1419.91646 Int. J. Theor. Appl. Finance 21, No. 8, Article ID 1850050, 34 p. (2018). MSC: 91G60 91G20 91G40 PDF BibTeX XML Cite \textit{T. R. Bielecki} et al., Int. J. Theor. Appl. Finance 21, No. 8, Article ID 1850050, 34 p. (2018; Zbl 1419.91646) Full Text: DOI
Consiglio, Andrea; Tumminello, Michele; Zenios, Stavros A. Pricing sovereign contingent convertible debt. (English) Zbl 1419.91608 Int. J. Theor. Appl. Finance 21, No. 8, Article ID 1850049, 36 p. (2018). MSC: 91G20 91G40 PDF BibTeX XML Cite \textit{A. Consiglio} et al., Int. J. Theor. Appl. Finance 21, No. 8, Article ID 1850049, 36 p. (2018; Zbl 1419.91608) Full Text: DOI
Mbaye, Cheikh; Vrins, Frédéric A subordinated CIR intensity model with application to wrong-way risk CVA. (English) Zbl 1417.91530 Int. J. Theor. Appl. Finance 21, No. 7, Article ID 1850045, 22 p. (2018). MSC: 91G40 91G60 PDF BibTeX XML Cite \textit{C. Mbaye} and \textit{F. Vrins}, Int. J. Theor. Appl. Finance 21, No. 7, Article ID 1850045, 22 p. (2018; Zbl 1417.91530) Full Text: DOI
Bengui, Julien; Phan, Toan Asset pledgeability and endogenously leveraged bubbles. (English) Zbl 1417.91358 J. Econ. Theory 177, 280-314 (2018). MSC: 91B62 91G40 91B50 PDF BibTeX XML Cite \textit{J. Bengui} and \textit{T. Phan}, J. Econ. Theory 177, 280--314 (2018; Zbl 1417.91358) Full Text: DOI
Sourabh, Sumit; Hofer, Markus; Kandhai, Drona Liquidity risk in derivatives valuation: an improved credit proxy method. (English) Zbl 1400.91610 Quant. Finance 18, No. 3, 467-481 (2018). MSC: 91G20 PDF BibTeX XML Cite \textit{S. Sourabh} et al., Quant. Finance 18, No. 3, 467--481 (2018; Zbl 1400.91610) Full Text: DOI
Koutmos, Dimitrios Interdependencies between CDS spreads in the European union: is Greece the black sheep or black swan? (English) Zbl 1404.62142 Ann. Oper. Res. 266, No. 1-2, 441-498 (2018). MSC: 62P20 91B84 91G40 PDF BibTeX XML Cite \textit{D. Koutmos}, Ann. Oper. Res. 266, No. 1--2, 441--498 (2018; Zbl 1404.62142) Full Text: DOI
Pelster, Matthias; Vilsmeier, Johannes The determinants of CDS spreads: evidence from the model space. (English) Zbl 1404.62110 Rev. Deriv. Res. 21, No. 1, 63-118 (2018). MSC: 62P05 62H05 62F15 91G40 PDF BibTeX XML Cite \textit{M. Pelster} and \textit{J. Vilsmeier}, Rev. Deriv. Res. 21, No. 1, 63--118 (2018; Zbl 1404.62110) Full Text: DOI
Fontana, Claudio; Schmidt, Thorsten General dynamic term structures under default risk. (English) Zbl 1410.91471 Stochastic Processes Appl. 128, No. 10, 3353-3386 (2018). MSC: 91G40 91G20 91G30 60H30 PDF BibTeX XML Cite \textit{C. Fontana} and \textit{T. Schmidt}, Stochastic Processes Appl. 128, No. 10, 3353--3386 (2018; Zbl 1410.91471) Full Text: DOI arXiv
Gong, Xiaoli; Zhuang, Xintian Default risk for listed companies in double exponential jump diffusion process. (Chinese. English summary) Zbl 1413.91119 J. Syst. Eng. 33, No. 1, 44-54 (2018). MSC: 91G40 60J75 PDF BibTeX XML Cite \textit{X. Gong} and \textit{X. Zhuang}, J. Syst. Eng. 33, No. 1, 44--54 (2018; Zbl 1413.91119) Full Text: DOI
Athreya, Kartik; Sánchez, Juan M.; Tam, Xuan S.; Young, Eric R. Bankruptcy and delinquency in a model of unsecured debt. (English) Zbl 1416.91386 Int. Econ. Rev. 59, No. 2, 593-623 (2018). MSC: 91G40 PDF BibTeX XML Cite \textit{K. Athreya} et al., Int. Econ. Rev. 59, No. 2, 593--623 (2018; Zbl 1416.91386) Full Text: DOI
Guo, Jie; Wang, Guojing A reduced-form model with default intensities containing contagion and regime-switching Vasicek processes. (English) Zbl 1406.91473 Front. Math. China 13, No. 3, 535-554 (2018). MSC: 91G40 44A10 49K15 60H30 91G80 PDF BibTeX XML Cite \textit{J. Guo} and \textit{G. Wang}, Front. Math. China 13, No. 3, 535--554 (2018; Zbl 1406.91473) Full Text: DOI
Liu, Jing LLN-type approximations for large portfolio losses. (English) Zbl 1416.91206 Insur. Math. Econ. 81, 71-77 (2018). MSC: 91B30 91G10 62P05 PDF BibTeX XML Cite \textit{J. Liu}, Insur. Math. Econ. 81, 71--77 (2018; Zbl 1416.91206) Full Text: DOI
Jansen, Jeroen; Das, Sanjiv R.; Fabozzi, Frank J. Local volatility and the recovery rate of credit default swaps. (English) Zbl 1401.91547 J. Econ. Dyn. Control 92, 1-29 (2018). MSC: 91G40 91G20 PDF BibTeX XML Cite \textit{J. Jansen} et al., J. Econ. Dyn. Control 92, 1--29 (2018; Zbl 1401.91547) Full Text: DOI
Jiang, Yiming; Song, Shiyu; Wang, Yongjin Pricing European vanilla options under a jump-to-default threshold diffusion model. (English) Zbl 1395.91452 J. Comput. Appl. Math. 344, 438-456 (2018). MSC: 91G20 60G07 PDF BibTeX XML Cite \textit{Y. Jiang} et al., J. Comput. Appl. Math. 344, 438--456 (2018; Zbl 1395.91452) Full Text: DOI