Credit risk management
- Interest Rate Swap Credit Valuation AdjustmentJakub Černý and Jiří WitzanyThe Journal of Derivatives November 2015, 23 (2) 24-35; DOI: https://doi.org/10.3905/jod.2015.23.2.024
- Loss Severity on Residential Mortgages: Evidence from Freddie Mac’s Newest DataLaurie S. Goodman and Jun ZhuThe Journal of Fixed Income September 2015, 25 (2) 48-57; DOI: https://doi.org/10.3905/jfi.2015.25.2.048
- Corporate Vulnerability Index as a Fear Gauge? Exploring the Contagion Effect between U.S. and Korean MarketsJun Sik Kim, Doojin Ryu and Sung Won SeoThe Journal of Derivatives August 2015, 23 (1) 73-88; DOI: https://doi.org/10.3905/jod.2015.23.1.073
- Interest Rates and Credit Spread DynamicsRobert Neal, Douglas Rolph, Brice Dupoyet and Xiaoquan JiangThe Journal of Derivatives August 2015, 23 (1) 25-39; DOI: https://doi.org/10.3905/jod.2015.23.1.025
- Credit Risk Retention and ASC 810–ConsolidationAllen SchulmanThe Journal of Structured Finance July 2015, 21 (2) 28-33; DOI: https://doi.org/10.3905/jsf.2015.21.2.028
- Counterparty Credit Risk in the Municipal Bond MarketSan-Lin Chung, Chen-Wei Kao, Chunchi Wu and Chung-Ying YehThe Journal of Fixed Income June 2015, 25 (1) 7-33; DOI: https://doi.org/10.3905/jfi.2015.25.1.007
- Modeling Term Structure of Default CorrelationSira SuchintabandidThe Journal of Derivatives May 2015, 22 (4) 26-36; DOI: https://doi.org/10.3905/jod.2015.22.4.026
- Have Pre-Crisis Levels of Risk Returned in U.S. Structured Products? Evidence from U.S. Subprime Auto ABS, CLOs, and Insurance-Linked Securities MarketsChristopher L. Culp and J. Paul ForresterThe Journal of Structured Finance April 2015, 21 (1) 10-44; DOI: https://doi.org/10.3905/jsf.2015.21.1.010
- The Non-Qualified-Mortgage ConundrumStephen OrnsteinThe Journal of Structured Finance January 2015, 20 (4) 58-61; DOI: https://doi.org/10.3905/jsf.2015.20.4.058
- CLOs and Risk Retention: The Other Shoe DropsMeredith CoffeyThe Journal of Structured Finance January 2015, 20 (4) 30-33; DOI: https://doi.org/10.3905/jsf.2015.20.4.030
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