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Defining, Estimating and Using Credit Term Structures. Part 1: Consistent Valuation Measures
Defining, Estimating Consistent Valuation Measures
2010/11/3
In this three-part series of papers, we argue that the conventional spread measures are not
well defined for credit-risky bonds and introduce a set of credit term structures which correct
for the bi...
Correlation breakdown, copula credit default models and arbitrage
Correlation breakdown copula credit default models arbitrage
2010/11/2
The recent ‘correlation breakdown’ in the modeling of credit default swaps,in which model correlations had to exceed 100% in order to reproduce market prices of supersenior tranches, is analyzed and a...
The Spread of the Credit Crisis: View from a Stock Correlation Network
networks econophysics equities stock market correlation credit crisis
2010/10/29
The credit crisis roiling the world’s financial markets will likely take years and entire careers to fully understand and analyze. A short empirical investigation of the current trends, however,demons...
Explicit Computations for a Filtering Problem with Point Process Observations with Applications to Credit Risk
Filtering Problem Applications Credit Risk
2010/12/13
We consider the intensity-based approach for the modeling of default times of one or more companies. In this approach the default times are defined as the jump times of a Cox process, which is a Poiss...
In this work we develop a tractable structural model with analytical default probabilities depending on a random default barrier and possibly random volatil-ity ideally associated with a scenario base...