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Credit risk modeling with affine processes

Citations

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Cited by:

  1. Richter, Anja, 2014. "Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models," Stochastic Processes and their Applications, Elsevier, vol. 124(11), pages 3578-3611.
  2. Güntay, Levent & Hackbarth, Dirk, 2010. "Corporate bond credit spreads and forecast dispersion," Journal of Banking & Finance, Elsevier, vol. 34(10), pages 2328-2345, October.
  3. Ruey-Ching Hwang & Jhao-Siang Siao & Huimin Chung & C. Chu, 2011. "Assessing bankruptcy prediction models via information content of technical inefficiency," Journal of Productivity Analysis, Springer, vol. 36(3), pages 263-273, December.
  4. Orth, Walter, 2013. "Multi-period credit default prediction with time-varying covariates," Journal of Empirical Finance, Elsevier, vol. 21(C), pages 214-222.
  5. Hanson, Samuel G. & Pesaran, M. Hashem & Schuermann, Til, 2008. "Firm heterogeneity and credit risk diversification," Journal of Empirical Finance, Elsevier, vol. 15(4), pages 583-612, September.
  6. Yoshifumi Muroi & E. Takino, 2011. "Pricing Derivatives using the Asymptotic Expansion Approach: Credit Migration Models with Stochastic Credit Spreads," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 18(4), pages 345-372, November.
  7. Almeida, Caio & Vicente, José, 2009. "Are interest rate options important for the assessment of interest rate risk?," Journal of Banking & Finance, Elsevier, vol. 33(8), pages 1376-1387, August.
  8. Lian Tang & Bin Wang & Kai-Nan Xiang, 2016. "Portfolio credit risk with predetermined default orders," Quantitative Finance, Taylor & Francis Journals, vol. 16(1), pages 131-149, January.
  9. Nicola Bruti-Liberati & Christina Nikitopoulos-Sklibosios & Eckhard Platen & Erik Schlögl, 2009. "Alternative Defaultable Term Structure Models," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 16(1), pages 1-31, March.
  10. Gouriéroux, C. & Monfort, A. & Renne, J.P., 2014. "Pricing default events: Surprise, exogeneity and contagion," Journal of Econometrics, Elsevier, vol. 182(2), pages 397-411.
  11. Shu-Ling Chiang & Ming-Shann Tsai, 2010. "Pricing a defaultable bond with a stochastic recovery rate," Quantitative Finance, Taylor & Francis Journals, vol. 10(1), pages 49-58.
  12. Ankush Agarwal & Christian-Oliver Ewald & Yongjie Wang, 2023. "Hedging longevity risk in defined contribution pension schemes," Computational Management Science, Springer, vol. 20(1), pages 1-34, December.
  13. Giuseppe Orlando & Michele Bufalo, 2021. "Interest rates forecasting: Between Hull and White and the CIR#—How to make a single‐factor model work," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(8), pages 1566-1580, December.
  14. Jonas Vogt, 2017. "Doubly Stochastic Reduced Form Credit Risk Model and Default Probability Uncertainty – a Technical Toolkit," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 6(2), pages 1-2.
  15. Alain Monfort & Fulvio Pegoraro & Jean-Paul Renne & Guillaume Roussellet, 2021. "Affine Modeling of Credit Risk, Pricing of Credit Events, and Contagion," Management Science, INFORMS, vol. 67(6), pages 3674-3693, June.
  16. Ming Shann Tsai & Shu Ling Chiang, 2016. "The Valuation Model for a Risky Asset When Its Risky Factors Follow Gamma Distributions," International Review of Finance, International Review of Finance Ltd., vol. 16(3), pages 421-444, September.
  17. Monfort, Alain & Pegoraro, Fulvio & Renne, Jean-Paul & Roussellet, Guillaume, 2017. "Staying at zero with affine processes: An application to term structure modelling," Journal of Econometrics, Elsevier, vol. 201(2), pages 348-366.
  18. Jaehoon Hahn & Ho-Seong Moon, 2016. "Credit Cycle and the Macroeconomy: Empirical Evidence from Korea," Economic Analysis (Quarterly), Economic Research Institute, Bank of Korea, vol. 22(4), pages 76-108, December.
  19. Hwang, Ruey-Ching, 2012. "A varying-coefficient default model," International Journal of Forecasting, Elsevier, vol. 28(3), pages 675-688.
  20. Wang, Xingchun, 2021. "Valuation of options on the maximum of two prices with default risk under GARCH models," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
  21. Areski Cousin & Ying Jiao & Christian y Robert & Olivier David Zerbib, 2021. "Optimal asset allocation subject to withdrawal risk and solvency constraints," Working Papers hal-03244380, HAL.
  22. Satoshi Yamashita & Toshinao Yoshiba, 2013. "A collateralized loan's loss under a quadratic Gaussian default intensity process," Quantitative Finance, Taylor & Francis Journals, vol. 13(12), pages 1935-1946, December.
  23. Cousin, Areski & Jiao, Ying & Robert, Christian Y. & Zerbib, Olivier David, 2016. "Asset allocation strategies in the presence of liability constraints," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 327-338.
  24. Giuseppe Orlando & Rosa Maria Mininni & Michele Bufalo, 2018. "On The Calibration of Short-Term Interest Rates Through a CIR Model," Papers 1806.03683, arXiv.org.
  25. Zahra Sokoot & Navideh Modarresi & Farzaneh Niknejad, 2017. "Modeling credit default swap premiums with stochastic recovery rate," Papers 1706.05703, arXiv.org.
  26. Kato, Kensuke & Nakamura, Nobuhiro, 2023. "Cointegration analysis of hazard rates and CDSs: Applications to pairs trading strategy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 612(C).
  27. Gregory Connor & Lisa R. Goldberg & Robert A. Korajczyk, 2010. "Portfolio Risk Analysis," Economics Books, Princeton University Press, edition 1, number 9224.
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