A General Framework For Pricing Credit Risk
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Abstract
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DOI: 10.1111/j.0960-1627.2004.t01-1-00193.x
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Citations
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Cited by:
- Agostino Capponi & José Figueroa-López & Andrea Pascucci, 2015.
"Dynamic credit investment in partially observed markets,"
Finance and Stochastics, Springer, vol. 19(4), pages 891-939, October.
- Agostino Capponi & Jose Enrique Figueroa Lopez & Andrea Pascucci, 2013. "Dynamic Credit Investment in Partially Observed Markets," Papers 1303.2950, arXiv.org, revised Jun 2014.
- Martin Keller-Ressel & Thorsten Schmidt & Robert Wardenga, 2018. "Affine processes beyond stochastic continuity," Papers 1804.07556, arXiv.org, revised Dec 2018.
- Lijun Bo & Xindan Li & Yongjin Wang & Xuewei Yang, 2013. "Optimal Investment and Consumption with Default Risk: HARA Utility," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 20(3), pages 261-281, September.
- Maxim Bichuch & Agostino Capponi & Stephan Sturm, 2015. "Arbitrage-Free Pricing of XVA -- Part I: Framework and Explicit Examples," Papers 1501.05893, arXiv.org, revised Aug 2016.
- Agostino Capponi & Lijun Bo, 2016. "Robust Optimization of Credit Portfolios," Papers 1603.08169, arXiv.org.
- Tolulope Fadina & Thorsten Schmidt, 2019. "Default Ambiguity," Risks, MDPI, vol. 7(2), pages 1-17, June.
- Maxim Bichuch & Agostino Capponi & Stephan Sturm, 2016. "Arbitrage-Free XVA," Papers 1608.02690, arXiv.org.
- Xin Guo & Robert A. Jarrow & Yan Zeng, 2009. "Credit Risk Models with Incomplete Information," Mathematics of Operations Research, INFORMS, vol. 34(2), pages 320-332, May.
- Fontana, Claudio & Schmidt, Thorsten, 2018. "General dynamic term structures under default risk," Stochastic Processes and their Applications, Elsevier, vol. 128(10), pages 3353-3386.
- Lijun Bo & Agostino Capponi, 2017. "Optimal Credit Investment with Borrowing Costs," Mathematics of Operations Research, INFORMS, vol. 42(2), pages 546-575, May.
- Kau, James B. & Keenan, Donald C. & Lyubimov, Constantine & Carlos Slawson, V., 2011.
"Subprime mortgage default,"
Journal of Urban Economics, Elsevier, vol. 70(2), pages 75-87.
- Kau, James B. & Keenan, Donald C. & Lyubimov, Constantine & Carlos Slawson, V., 2011. "Subprime mortgage default," Journal of Urban Economics, Elsevier, vol. 70(2-3), pages 75-87, September.
- Tahir Choulli & Catherine Daveloose & Michèle Vanmaele, 2020. "A martingale representation theorem and valuation of defaultable securities," Mathematical Finance, Wiley Blackwell, vol. 30(4), pages 1527-1564, October.
- Damiano Brigo & Agostino Capponi & Andrea Pallavicini, 2014. "Arbitrage-Free Bilateral Counterparty Risk Valuation Under Collateralization And Application To Credit Default Swaps," Mathematical Finance, Wiley Blackwell, vol. 24(1), pages 125-146, January.
- T. Choulli & S. Alsheyab, 2024. "Linear reflected backward stochastic differential equations arising from vulnerable claims in markets with random horizon," Papers 2408.04758, arXiv.org.
- Tahir Choulli & Emmanuel Lepinette, 2024. "Super-hedging-pricing formulas and Immediate-Profit arbitrage for market models under random horizon," Papers 2401.05713, arXiv.org.
- Agostino Capponi & Stefano Pagliarani & Tiziano Vargiolu, 2014. "Pricing vulnerable claims in a Lévy-driven model," Finance and Stochastics, Springer, vol. 18(4), pages 755-789, October.
- Lijun Bo & Agostino Capponi, 2014.
"Bilateral credit valuation adjustment for large credit derivatives portfolios,"
Finance and Stochastics, Springer, vol. 18(2), pages 431-482, April.
- Lijun Bo & Agostino Capponi, 2013. "Bilateral Credit Valuation Adjustment for Large Credit Derivatives Portfolios," Papers 1305.5575, arXiv.org.
- Tahir Choulli & Ferdoos Alharbi, 2022. "Representation for martingales living after a random time with applications," Papers 2203.11072, arXiv.org, revised Nov 2022.
- Frank Gehmlich & Thorsten Schmidt, 2015. "A generalized intensity based framework for single-name credit risk," Papers 1512.03896, arXiv.org.
- Claudio Fontana & Thorsten Schmidt, 2016. "General dynamic term structures under default risk," Papers 1603.03198, arXiv.org, revised Nov 2017.
- Ruas, João Pedro & Dias, José Carlos & Vidal Nunes, João Pedro, 2013. "Pricing and static hedging of American-style options under the jump to default extended CEV model," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4059-4072.
- Lijun Bo & Shihua Wang & Xiang Yu, 2021. "Mean Field Game of Optimal Relative Investment with Jump Risk," Papers 2108.00799, arXiv.org, revised Feb 2023.
- Sandrine Gumbel & Thorsten Schmidt, 2021. "Defaultable term structures driven by semimartingales," Papers 2103.01577, arXiv.org, revised Aug 2021.
- Lijun Bo & Agostino Capponi, 2017. "Robust Optimization of Credit Portfolios," Mathematics of Operations Research, INFORMS, vol. 42(1), pages 30-56, January.
- Frank Gehmlich & Thorsten Schmidt, 2014. "Dynamic Defaultable Term Structure Modelling beyond the Intensity Paradigm," Papers 1411.4851, arXiv.org, revised Jul 2015.
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