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Analysis of Systematic Risks in Multi-Name Credit and Equity Markets

https://doi.org/10.2139/ssrn.2314190
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Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1007/s00780-006-0012-6openalex-extracted
A jump to default extended CEV model: an application of Bessel processes
inferredcites →https://doi.org/10.1080/13504860701798283openalex-extracted
Pricing Options on Defaultable Stocks*
inferredcites →https://doi.org/10.1080/13504860902765545openalex-extracted
Multiscale Intensity Models and Name Grouping for Valuation of Multi-Name Credit Derivatives
inferredcites →https://doi.org/10.1086/296025openalex-extracted
Prices of State-Contingent Claims Implicit in Option Prices
inferredcites →https://doi.org/10.1093/jjfinec/nbp010openalex-extracted
Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation
inferredcites →https://doi.org/10.1093/jjfinec/nbr011openalex-extracted
Systematic and Idiosyncratic Default Risk in Synthetic Credit Markets
inferredcites →https://doi.org/10.1093/rfs/6.2.327openalex-extracted
A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
inferredcites →https://doi.org/10.1111/0022-1082.00402openalex-extracted
The Determinants of Credit Spread Changes
inferredcites →https://doi.org/10.1111/1468-0262.00164openalex-extracted
Transform Analysis and Asset Pricing for Affine Jump-diffusions
inferredcites →https://doi.org/10.1111/j.1467-9965.2010.00416.xopenalex-extracted
COMPLEX LOGARITHMS IN HESTON-LIKE MODELS
inferredcites →https://doi.org/10.1111/j.1467-9965.2010.00435.xopenalex-extracted
A UNIFIED FRAMEWORK FOR PRICING CREDIT AND EQUITY DERIVATIVES
inferredcites →https://doi.org/10.1111/j.1540-6261.1974.tb03058.xopenalex-extracted
ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*
inferredcites →https://doi.org/10.1111/j.1540-6261.2008.01330.xopenalex-extracted
An Empirical Analysis of the Pricing of Collateralized Debt Obligations
inferredcites →https://doi.org/10.1111/j.1540-6261.2012.01779.xopenalex-extracted
On the Relative Pricing of Long‐Maturity Index Options and Collateralized Debt Obligations
inferredcites →https://doi.org/10.1257/aer.99.3.628openalex-extracted
Economic Catastrophe Bonds
inferredcites →https://doi.org/10.1515/9781400829194?locatt=mode:legacyopenalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.157733openalex-extracted
Transform Analysis and Asset Pricing for Affine Jump-Diffusions
inferredcites →https://doi.org/10.2139/ssrn.1786574openalex-extracted
Pricing and Integration of the CDX Tranches in the Financial Market
inferredcites →https://doi.org/10.2139/ssrn.191668openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.2023717openalex-extracted
Economic Catastrophe Bonds: Inefficient Market or Inadequate Model?
inferredcites →https://doi.org/10.2139/ssrn.663425openalex-extracted
Semi-Analytical Valuation of Basket Credit Derivatives in Intensity-Based Models
inferredcites →https://doi.org/10.2139/ssrn.748005openalex-extracted
Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation
inferredcites →https://doi.org/10.2139/ssrn.984836openalex-extracted
An Empirical Investigation of an Intensity-Based Model for Pricing CDO Tranches
inferredcites →https://doi.org/10.2139/ssrn.995249openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.995277openalex-extracted
inferredcites →https://doi.org/10.2469/faj.v55.n1.2243openalex-extracted
Credit Swap Valuation
inferredcites →https://doi.org/10.2469/faj.v57.n1.2418openalex-extracted
Risk and Valuation of Collateralized Debt Obligations
inferredcites →https://doi.org/10.3905/jod.2006.635417openalex-extracted
Semi-Analytical Valuation of Basket Credit Derivatives in Intensity-Based Models
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