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Found 731 Documents (Results 1–100)

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CVaR hedging in defaultable jump-diffusion markets. (English) Zbl 1479.91409

Karapetyants, Alexey N. (ed.) et al., Operator theory and harmonic analysis. OTHA 2020, Part II – probability-analytical models, methods and applications. Based on the international conference on modern methods, problems and applications of operator theory and harmonic analysis. Cham: Springer. Springer Proc. Math. Stat. 358, 309-333 (2021).
MSC:  91G20 91G05 91G70
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Estimating the tax-timing option value of corporate bonds. (English) Zbl 1454.91349

Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 4383-4419 (2021).
MSC:  91G50 91G40
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Application of discriminant analysis, factor analysis, logistic regression, and KMV-Merton model in credit risk analysis. (English) Zbl 1451.62111

Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 4313-4348 (2021).
MSC:  62P05 91G40
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An integral equation approach for bond prices with applications to credit spreads. (English) Zbl 1454.91281

Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 3849-3866 (2021).
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Estimation procedures of using five alternative machine learning methods for predicting credit card default. (English) Zbl 1454.91332

Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 3545-3572 (2021).
MSC:  91G40 91G80 68T05
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Credit analysis, bond rating forecasting, and default probability estimation. (English) Zbl 1454.91328

Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 2635-2671 (2021).
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Determinants of Euro-area bank CDS spreads. (English) Zbl 1454.91325

Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 2161-2198 (2021).
MSC:  91G40 91G20 62P05
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Empirical studies of structural credit risk models and the application in default prediction: review and new evidence. (English) Zbl 1451.91214

Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1845-1901 (2021).
MSC:  91G40
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