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Pricing Financial Derivatives Subject to Multilateral Credit Risk and Collateralization
Author(s):
Tim Xiao
(see profile)
Date:
2020
Group(s):
Business Management
Subject(s):
Economics
Item Type:
Article
Tag(s):
asset pricing
,
credit risk modeling
,
colateral
,
risk management
,
CDS
Search term matches:
Tag
...
asset
pricing
...
Full Text
... . We show that default dependency has a significant impact on
asset
pricing
. In fact, correlated default ...
The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling
Author(s):
Tim Xiao
(see profile)
Date:
2020
Group(s):
Business Management
Subject(s):
Economics
,
Qualitative research--Methodology
Item Type:
Article
Tag(s):
asset pricing
,
credit risk modeling
,
collateralization
,
Quantitative methods
Search term matches:
Title
... The Impact of Default Dependency and Collateralization on
Asset
Pricing
and Credit Risk Modeling ...
Tag
...
asset
pricing
...
Full Text
... The Impact of Default Dependency and Collateralization on
Asset
Pricing
and Credit Risk ...
An Economic Examination of Collateralization in Different Financial Markets
Author(s):
Tim Xiao
(see profile)
Date:
2020
Group(s):
Business Management
Subject(s):
Economics
Item Type:
Article
Tag(s):
unilateral/bilateral collateralization
,
partial/full/over collateralization
,
asset pricing
,
plumbing of the financial system
,
swap premium spread
Search term matches:
Tag
...
asset
pricing
...
Full Text
... to bankruptcy laws. As such, the model can back out differences in
asset
prices
due to collateralized ...
An Efficient Lattice Algorithm For The LIBOR Market Model
Author(s):
Tim Xiao
(see profile)
Date:
2020
Group(s):
Business Management
Subject(s):
Values--Philosophy
,
Economics
Item Type:
Article
Tag(s):
LIBOR Market Model
,
lattice model
,
asset pricing
,
derivatives valuation
,
risk management
,
Value theory
Search term matches:
Tag
...
asset
pricing
...
An Accurate Solution for Credit Valuation Adjustment (CVA) and Wrong Way Risk
Author(s):
Tim Xiao
(see profile)
Date:
2015
Group(s):
Business Management
,
Scholarly Communication
Subject(s):
Economics
,
Knowledge management
,
Commercial statistics
Item Type:
Article
Tag(s):
asset pricing
,
credit value adjustment
,
wrong way risk
,
credit risk modeling
,
default time approach
,
Business data
Search term matches:
Tag
...
asset
pricing
...
Full Text
... , 50, 23- 33. Xiao, T., 2013a, The impact of default dependency and collateralization on
asset
...
A New Model for Pricing Collateralized Financial Derivatives
Author(s):
Tim Xiao
(see profile)
Date:
2017
Group(s):
Business Management
,
Scholarly Communication
Item Type:
Article
Tag(s):
asset pricing
,
collateralization
,
CVA
,
interaction between market and credit risk
,
plumbing of financial system
,
swap premium spread
,
VaR
Search term matches:
Tag
...
asset
pricing
...
Full Text
... and credit risk. Key words: collateralization,
asset
pricing
, plumbing of financial system, swap ...
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