Journal of Credit Risk最新文献_第9页

The survival analysis approach in Basel II credit risk management: modeling danger rates in the loss given default parameter 巴塞尔协议II信用风险管理中的生存分析方法:在给定违约参数的损失中建模危险率

IF 0.3 4区经济学

Journal of Credit Risk Pub Date : 2013-03-01 DOI: 10.21314/JCR.2013.155

S. Bonini, Giulia Caivano

引用次数: 11

Debt Structure, Market Value of Firm, and Recovery Rate 债务结构、企业市场价值与回收率

IF 0.3 4区经济学

Journal of Credit Risk Pub Date : 2013-03-01 DOI: 10.21314/JCR.2013.157

M. Qi, Xinlei Zhao

引用次数: 9

Pricing of contingent convertibles under smile conform models 微笑符合模型下或有可转换债券的定价

IF 0.3 4区经济学

Journal of Credit Risk Pub Date : 2013-01-01 DOI: 10.21314/JCR.2013.163

J. M. Corcuera, Jan De Spiegeleer, Albert Ferreiro-Castilla, A. Kyprianou, D. Madan, W. Schoutens

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引用次数: 28

Optimal structuring of collateralized debt obligation contracts: an optimization approach 债务抵押债券合约的最优结构:一种最优化方法

IF 0.3 4区经济学

Journal of Credit Risk Pub Date : 2012-12-01 DOI: 10.21314/JCR.2012.153

Alexander Veremyev, Peter Tsyurmasto, S. Uryasev

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引用次数: 3

Collateralized credit default swaps and default dependence: implications for the central counterparties 担保信用违约互换和违约依赖:对中央对手方的影响

IF 0.3 4区经济学

Journal of Credit Risk Pub Date : 2012-09-01 DOI: 10.21314/JCR.2012.143

M. Fujii, Akihiko Takahashi

引用次数: 10

A survey of loan credit default swap pricing models 贷款信用违约掉期定价模型研究

IF 0.3 4区经济学

Journal of Credit Risk Pub Date : 2012-09-01 DOI: 10.21314/JCR.2012.144

M. Ong, Dan Li, David Lu

引用次数: 4

An asset drop model as an alternative to the treatment of double defaults within the Basel framework 资产下降模型作为巴塞尔框架内双重违约处理的替代方案