From default probabilities to credit spreads: credit risk models explain market prices (Keynote Address)

2005 ◽  
Author(s):  
Stefan M. Denzler ◽  
Michel M. Dacorogna ◽  
Ulrich A. Muller ◽  
Alexander J. McNeil
Keyword(s):  
Credit Risk ◽  
Credit Spreads ◽  
Keynote Address ◽  
Risk Models ◽  
Market Prices

From default probabilities to credit spreads: Credit risk models do explain market prices

2006 ◽  
Vol 3 (2) ◽  
pp. 79-95 ◽  
Author(s):  
Stefan M. Denzler ◽  
Michel M. Dacorogna ◽  
Ulrich A. Müller ◽  
Alexander J. McNeil
Keyword(s):  
Credit Risk ◽  
Credit Spreads ◽  
Risk Models ◽  
Market Prices

Selection versus averaging of logistic credit risk models

2014 ◽  
Vol 16 (5) ◽  
pp. 39-52 ◽  
Author(s):  
Evelyn Hayden ◽  
Alex Stomper ◽  
Arne Westerkamp
Keyword(s):  
Credit Risk ◽  
Risk Models
Sign in / Sign up

Export Citation Format

Share Document