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• Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds

  Author(s):

  Tim Xiao (see profile)

  Date:

  2020

  Group(s):

  Business Management

  Subject(s):

  Finance, Sociology

  Item Type:

  Article

  Tag(s):

  jump diffusion, convertible bond, convertible underpricing, convertible arbitrage, default time approach, default probability approach, Sociology of finance

  Search term matches:

  Tag

  ... default time approach ...

  Full Text

  ... , default time approach, default probability approach, asset pricing and credit risk modeling. 1 ...

  
  

• A Simple and Precise Method for Pricing Convertible Bond with Credit Risk

  Author(s):

  Tim Xiao (see profile)

  Date:

  2014

  Group(s):

  Business Management, Scholarly Communication

  Subject(s):

  Values--Philosophy, Finance, Sociology, Economics

  Item Type:

  Article

  Tag(s):

  hybrid financial instrument, convertible bond, convertible underpricing, convertible arbitrage, default time approach, Value theory, Sociology of finance

  Search term matches:

  Tag

  ... default time approach ...

  Full Text

  ... underpricing, convertible arbitrage, default time approach, default probability approach, jump diffusion ...

  
  

• 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

  ... default time approach ...

  Full Text

  ... risk, credit risk modeling, least square Monte Carlo, default time approach (DTA), default ...

  
  

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