Mathematical Models for Measuring Default Risks

Author:

Liang Jin,Hu Bei

Publisher

Springer Nature Singapore

Reference16 articles.

1. Black, F. and J.Cox, Some Effects of Bond Indenture Provisions. Journal of Finance, 1976, 31:351–367.

2. Benbouzid, N., Mallick, S.K., Pilbeam, K., 2017. The housing market and the credit default swap premium in the UK banking sector: A VAR approach. Res. Int. Business Finance.

3. Bielecki, T.R., M.Rutkowski, Credit risk: modeling, valuation, and hedging. Springer, 2002.

4. Crepey, S., M. Jeanblanc, and B. Zargari (2009): Counterparty Risk on a CDS in a Markov Chain Copula Model with Joint Defaults, Recent Advances in Financial Engineering 2009, 91–126 (2010) .

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