RT Journal Article
T1 Sensitivity Analysis of a Default Time Model for Credit Risk Portfolio Management
A1 Abella Muñoz, Rebeca
A1 Armero Huertas, Ismael
A1 Ivorra, Benjamin
A1 Ramos del Olmo, Ángel Manuel
PB Universidad Complutense. Departamento de Matemática Aplicada
YR 2010
FD 2010-11-25
LK https://hdl.handle.net/20.500.14352/44489
UL https://hdl.handle.net/20.500.14352/44489
LA eng
NO [1] David X. Li, On Default Correlation: A Copula Function Approach, Journal of Fixed Income, Vol. 9, No. 4, pp. 43-54, 2000.[2] Duan, J. C., Maximum Likelihood Estimation Using Price Data of the Derivative Contract, Mathematical Finance 4, pages 155-157, 1994.[3] Elizalde Abel, Credit Risk Models I: Default Correlation in Intensity Models, CEMFI and UPNA, 2005.[4] Elizalde Abel, Credit Risk Models II: Structural Models, CEMFI and UPNA, 2005.[5] Black, F., and J. C. Cox, Valuing Corporate Securities: Some Effects of Bond Identure Provisions, Journal of Finance 31, pages 351-367, 1976.[6] Black, F., and Scholes, M., The Pricing of Options and Corporate Liabilities, Journal of Political Economy 81, pages 637-654, 1973.[7] Eom, Y. H., Helwege, J., and Huang, J. Z., Structural Models of Corporate Bond Pricing: An Empirical Analysis, Review of Financial Studies 17, pages 499-544, 2003.[8] H. Fischer, The Central Limit Theorem from Laplace to Cauchy, 2000.[9] www.investopedia.com.[10] www.investorwords.com.[11] Giesecke, K., and Goldberg, L. R., Sequential defaults and incomplete information, Journal of risk 7, pages 1-26, 2004.[12] Ivorra Benjamin, Optimisation globale semi-d'eterministe et applications industrielles, Ph.D. Thesis, Universit´e de Montpellier 2, 2006.[13] Ivorra Benjamin, Bijan Mohammadi, Angel Manuel Ramos, Semideterministic Global Optimization Method: Application to a Control Problem of the Burgers Equation, Journal of Optimization, Theory and Applications (J. Optimiz. Theory App.), ISSN: 0022-3239. Vol. 135, 2007, pages 549-561, 2007.[14] Jones, P., Mason, S., and Rosenfeld, E., Contingent Claim Analysis of Corporate Capital Structures: An Empirical Investigation, Journal of Finance 39, pages 611-625, 1984.[15] Merton, R., On the Pricing of Corporate Debt: the Risk Structure of Interest Rates, Journal of Finance 29, pages 449-470, 1974.[16] M. Sellers and A. Davidson, Modelling default risk: Private firm model, KMV Corporation, 1998.[17] P.J. Schnbucher, Credit Derivatives Pricing Models, Wiley Finance, 2003.[18] Philippe Artzner, Freddy Delbaen, Jean-Marc Eber, David Heath, Coherent Measures of Risk, Blackwell Publishers Inc, Volume 9 Issue 3, pages 203-228, 1999.[19] R. Tyrrell Rockafellar, Stanislav Uryasev, Conditional value-atrisk for general loss distributions, Journal of banking and finance, ISSN 0378-4266, Vol. 26, N. 7, pages 1443-1471, 2002.[20] R. Cavestany Sanz-Briz, Estructuras de Correlaciones de Crédito para el Cálculo de Capital Económico, PriceWaterHouse Coopers, 2002.
NO Ministerio de Ciencia e Innovación (España). Plan Nacional de I+D+i 2008-2011
NO Comunidad de Madrid
NO Banco de Santander
NO Universidad Complutense
DS Docta Complutense
RD 4 may 2024