Modelling credit portfolio correlation skew and stochastic recovery rates

Modelling credit portfolio correlation skew and stochastic recovery rates

Bibliographic Details
Main Author:	Chang, Feng
Published:	Imperial College London 2008
Subjects:	332.64570113
Online Access:	http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.445331

Similar Items

Uncertain crash model, theory and applications
by: Hua, Tan Cuong
Published: (2006)

Modelling FX smile : from stochastic volatility to skewness
by: Luo, Lin
Published: (2007)

Credit ratings, credit default swaps and credit correlation
by: Evans, Leonard Andrew
Published: (2012)

Modelling portfolios of credit securities
by: Liu, Yang
Published: (2010)

Valuing credit spread options under stochastic volatility/interest rates
by: Boafo-Yirenkyi, Theophilus Harry Samuel
Published: (2003)

Valuation of synthetic CDOs and related portfolio credit derivatives
by: Fikri, Cem
Published: (2007)

Modelling portfolio credit derivatives within the default-time copula framework
by: Bostock, Lee Anthony
Published: (2005)

Portfolio credit risk through time : measurement methodologies
by: Segoviano, Miguel A.
Published: (2005)

Portfolio behaviour and the stochastic properties of stock prices
by: Fong, Wai Mun
Published: (1992)

Interest rate and credit risk modelling
by: Jackson, Alexander
Published: (2004)

Essays in quantitative finance on risk management and credit portfolio optimisation
by: Wang, Zhi
Published: (2011)

Modelling the information content of sovereign credit ratings
by: Trevino Villarreal, Maria de Lourdes
Published: (1999)

Optimising portfolios of credit risks by maximising expected return on economic capital
by: Hawkins, Paul Michael
Published: (2002)

Empirical studies of credit spreads and ratings
by: Wu, Shi
Published: (2010)

Stochastic correlation models in foreign exchange markets
by: Fritz, Markus Per
Published: (2006)

A practical evaluation of the analysis of credit and the legal processes of corporate recovery
by: Beng, Alvin Oh Swee
Published: (2000)

The effects of credit ratings in mergers and acquisitions
by: Karampatsas, Nikolaos
Published: (2013)

Exchange rates risk and equity portfolio diversification
by: Olusi, Olasupo
Published: (2005)

Pricing and hedging of spread options with stochastic component correlation
by: Hong, S. G.
Published: (2001)

Delayed credit rating changes, firm financing and firm performance
by: Meng, Qingrui
Published: (2012)

Empirical studies of credit rating and spread dynamics
by: Kou, Jianming
Published: (2008)

The applicability of statistical techniques to credit portfolios with specific reference to the use of risk theory in banking
by: O'Connor, Ronan B.
Published: (1996)

Modelling credit risk with applications to credit derivatives
by: Margonis, Efstathios
Published: (2002)

Aspects of credit risk modeling
by: Swamy, Murali
Published: (2011)

An empirical investigation of the determinants and impact of bank credit ratings
by: Karimu, B. A.
Published: (2016)

Numerical lattice methods for implementing interest rate and credit risk models
by: Yueh, Meng-Lan
Published: (2002)

Essays on bond recoveries and ratings
by: Hu, Yen-Ting
Published: (2006)

Stochastic models of exchange-rate dynamics and their implications for the pricing of foreign-currency options
by: Kaehler, Juergen
Published: (1995)

Portfolio and option pricing theory with correlated multi-assets and transaction costs
by: Ingpochai, Pongsathorn
Published: (2007)

Hedging : imperfect correlation, timely information and stochastic volatility
by: Penn, Jeremy
Published: (2003)

Credit rating agencies : regulatory changes and market participants' perspectives
by: Ndlovu, Tabani
Published: (2013)

An examination of bank use of credit derivatives to mitigate risk : an empirical analysis of its potency and impact on bank portfolio management and performance
by: Albright, Kolawole
Published: (2017)

The regulation of credit rating agencies : an analysis of the transgressions of the rating industry and a measured proposal for reform
by: Cash, Daniel
Published: (2016)

Models for pricing credit derivatives and credit related instruments : theory and implementation
by: Ratcliffe, Christopher Mark
Published: (2000)

Credit risk pricing models as applied to credit trading and risk management
by: Den Braber, Ronald Franciscus Johannes
Published: (2006)

Credit risk modelling with default-triggered acquisition
by: Cheung, W.
Published: (2006)

An Analysis of the information content of, and the Risk-Neutral Skewness Implict in, U.S. Individual Stock Options
by: Zhang, Yuanyuan
Published: (2008)

Essays on credit risk modeling
by: Li, Yan
Published: (2004)

Credit modelling and regime-switching
by: Bell, Richard
Published: (2015)

Portfolio models of sectoral money demand
by: Cain, Peter Matthew
Published: (1997)