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Academic literature on the topic 'Joint default probability'
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Journal articles on the topic "Joint default probability"
Valužis, M. "On the Probabilities of Correlated Defaults: a First Passage Time Approach." Nonlinear Analysis: Modelling and Control 13, no. 1 (2008): 117–33. http://dx.doi.org/10.15388/na.2008.13.1.14593.
Full textDurante, Fabrizio, Juan Fernández-Sánchez, and Wolfgang Trutschnig. "On the singular components of a copula." Journal of Applied Probability 52, no. 4 (2015): 1175–82. http://dx.doi.org/10.1239/jap/1450802760.
Full textDurante, Fabrizio, Juan Fernández-Sánchez, and Wolfgang Trutschnig. "On the singular components of a copula." Journal of Applied Probability 52, no. 04 (2015): 1175–82. http://dx.doi.org/10.1017/s0021900200113154.
Full textHusodo, Zaafri Ananto, Sigit Sulistyo Wibowo, Muhammad Budi Prasetyo, Usman Arief, and Maulana Harris Muhajir. "ESTIMATING A JOINT PROBABILITY OF DEFAULT INDEX FOR INDONESIAN BANKS: A COPULA APPROACH." Buletin Ekonomi Moneter dan Perbankan 23, no. 3 (2020): 389–412. http://dx.doi.org/10.21098/bemp.v23i3.1358.
Full textChen, Yu, and Yu Xing. "Basket Credit Default Swap Pricing with Two Defaultable Counterparties." Discrete Dynamics in Nature and Society 2022 (March 22, 2022): 1–17. http://dx.doi.org/10.1155/2022/3844001.
Full textLI, WEIPING, and TIM KREHBIEL. "AN IMPROVED APPROACH TO EVALUATE DEFAULT PROBABILITIES AND DEFAULT CORRELATIONS WITH CONSISTENCY." International Journal of Theoretical and Applied Finance 19, no. 05 (2016): 1650036. http://dx.doi.org/10.1142/s0219024916500369.
Full textPang, Sulin, Jinwang Xiao, and Shuqing Li. "Pricing method and applications for the farmer's joint liability based on intensity model and Monte Carlo simulation." Journal of Financial Engineering 02, no. 01 (2015): 1550008. http://dx.doi.org/10.1142/s2345768615500087.
Full textPianeti, Riccardo, Rosella Giacometti, and Valentina Acerbis. "Estimating the Joint Probability of Default Using CreditDefault Swap and Bond Data." Journal of Fixed Income 21, no. 3 (2011): 44–58. http://dx.doi.org/10.3905/jfi.2012.21.3.044.
Full textCIRILLO, PASQUALE, JÜRG HÜSLER, and PIETRO MULIERE. "A NONPARAMETRIC URN-BASED APPROACH TO INTERACTING FAILING SYSTEMS WITH AN APPLICATION TO CREDIT RISK MODELING." International Journal of Theoretical and Applied Finance 13, no. 08 (2010): 1223–40. http://dx.doi.org/10.1142/s0219024910006170.
Full textOrlando, Giuseppe, and Roberta Pelosi. "Non-Performing Loans for Italian Companies: When Time Matters. An Empirical Research on Estimating Probability to Default and Loss Given Default." International Journal of Financial Studies 8, no. 4 (2020): 68. http://dx.doi.org/10.3390/ijfs8040068.
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