Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton’s Credit Risk Valuation-Reference-Cited by-同舟云学术

Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton’s Credit Risk Valuation

Published:2007 Issue: Volume: Page:107-131
ISSN:
Container-title:Advances in Risk Management
language:
Short-container-title:

Author:

Gatfaoui Hayette

Publisher

Palgrave Macmillan UK

Link

http://link.springer.com/content/pdf/10.1057/9780230625846_6

Reference65 articles.

1. Äijö, J. (2003) “Determinants of the Volatility Smile: A Study on the German Individual Stock Options”, Working Paper, Department of Accounting and Finance, University of Vaasa, Finland.

2. Andersen, T.G., Bollerslev, T., Diebold, F.X. and Ebens, H. (2001) “The Distribution of Stock Return Volatility”, Journal of Financial Economics, 61 (1): 43–76.

3. Aramov, D., Jostova, G. and Philipov, A. (2004) “Credit Risk Changes: Common Factors and Firm-Level Fundamentals”, Working Paper, Department of Finance, Robert H. Smith School of Business, University of Maryland.

4. Backus, D., Foresi, S., Li, K. and Wu, L. (1997) “Accounting for Biases in Black-Scholes”, Working Paper, Stern School of Business, New York University, NY.

5. Bangia, A., Diebold, F.X., Kronimus, A., Schlagen, C. and Schuermann, T. (2002) “Ratings Migration and the Business Cycle, with Application to Credit Portfolio Stress Testing”, Journal of Banking and Finance, 26 (2/3): 445–74.

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Probabilistic Overview of Probabilities of Default for Low Default Portfolios by K. Pluto and D. Tasche;Bulletin of Taras Shevchenko National University of Kyiv. Series: Physics and Mathematics;2023

2. Constructivism and its risks in artificial intelligence;Prometheus;2020-12-01