Credit risk management
- Revisiting Interest Rate Swap Valuation with Counterparty Risk, Wrong-Way Risk, and OIS DiscountingAyoub Gargouri, Van Son Lai and Issouf SoumaréThe Journal of Fixed Income December 2016, 26 (3) 63-80; DOI: https://doi.org/10.3905/jfi.2017.26.3.063
- The Credit Risk PremiumAttakrit Asvanunt and Scott RichardsonThe Journal of Fixed Income December 2016, 26 (3) 6-24; DOI: https://doi.org/10.3905/jfi.2017.26.3.006
- Credit-Risk Behavior of Homogeneous Portfolios: A Theoretical Result with Surprising Practical ImplicationsBernardo K. Pagnoncelli, Francisco Hawas and Arturo CifuentesThe Journal of Structured Finance July 2016, 22 (2) 7-15; DOI: https://doi.org/10.3905/jsf.2016.22.2.007
- LSTA and Risk Retention: Efforts on the Hill and in the CourtsMeredith CoffeyThe Journal of Structured Finance July 2016, 22 (2) 55-58; DOI: https://doi.org/10.3905/jsf.2016.22.2.055
- Decomposing Risks in Bond Portfolios: International EvidenceDavid Sun, Shih-Chuan Tsai and Chun-Da ChenThe Journal of Fixed Income June 2016, 26 (1) 75-93; DOI: https://doi.org/10.3905/jfi.2016.26.1.075
- A Structural Model of Credit Risk for Illiquid DebtFrédéric Blanc-Brude and Majid HasanThe Journal of Fixed Income June 2016, 26 (1) 6-19; DOI: https://doi.org/10.3905/jfi.2016.26.1.006
- Systematic Credit Risk and Pricing for Fixed Income InstrumentsDaniel Rösch and Harald ScheuleThe Journal of Fixed Income June 2016, 26 (1) 42-60; DOI: https://doi.org/10.3905/jfi.2016.26.1.042
- Making a Case for Deep Cover Mortgage InsuranceSteve Mackey and Ted DurantThe Journal of Structured Finance April 2016, 22 (1) 56-67; DOI: https://doi.org/10.3905/jsf.2016.22.1.056
- Determinants of the Size of the Sovereign Credit Default Swap MarketTobias Berg and Daniel StreitzThe Journal of Fixed Income December 2015, 25 (3) 58-73; DOI: https://doi.org/10.3905/jfi.2016.25.3.058
- A Simple Model of Correlated Defaults with Application to Repo PortfoliosDariusz Gatarek and Juliusz JabłeckiThe Journal of Derivatives November 2015, 23 (2) 8-23; DOI: https://doi.org/10.3905/jod.2015.23.2.008
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