Search CORE

3 research outputs found

Capital Structure Arbitrage Revisited

Author: A Currie
B Cserna
C Bajlum
C Cao
C Zhou
Cboe
Creditgrades
Creditsuisse
E Gatev
F Black
F Yu
H E Leland
H Hu
Isda
J Duarte
J Hilscher
J Qiu
K Chen
L Norden
M Wojtowicz
Marcin Wojtowicz
Markit
Markit
R Blanco
R C Merton
S Hogan
V V Acharya
Y H Eom
Publication venue: 'Elsevier BV'
Publication date: 01/01/2014
Field of study

Modeling the Dependence between PD and LGD

Author: . . . . . . . . . . . . . . . . Results
A K Gupta
A Laforgia
B Engelmann
C D Lai
C Mortici
Creditsuisse
D X Li
E I Altman
E I Altman
E L Lehmann
Eba
Freddiemac
I Kojadinovic
I Olkin
J A Swets
J Frye
J S Frame
J Witzany
J Witzany
J Witzany
J Yan
J Zhang
Jpmorgan
K Conrad
M B Gordy
N N Taleb
P Miu
Pasquale Cirillo
R C Merton
R Chalupka
S Jones
T Schuermann
Vittorio Maio
X Yao
Y L Luke
Y L Tong
Publication venue: 'Elsevier BV'
Publication date: 01/01/2018
Field of study

One-Factor Copula-Based Model for Credit Portfolio

Author: A Altman
Andrea Prampolini
Anna Kalemanova
Anna Schlosser
Bcbs
Bcbs
Creditsuisse
D Sundararjan
David Rupper
Eugene Lukacs
Francesco Diurni
Greg Gupton
H A Priestley
Harish Parthasarathy
J Gil-Pelaez
J Gregory
J.-J Hwang
Ji?� Witzany
Ji?� Witzany
Ji?� Witzany
Jie Zhang
John Hull
Jon Frye
Jon Gregory
K L Chung
Marek Kolman
Mario Melchiori
Mark S Joshi
Martin Krekel
Matthias Neugebauer
Michael Pykhtin
Oldrich Vasicek
Peter Crosbie
Salah Amaraoui
Svetlozar Rachev
Umberto Cherubini
X Burtschell
X David
Yang Yi
Publication venue: 'Elsevier BV'
Publication date: 01/01/2012
Field of study

core

core