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Hong Kong University of Science and Technology

1.
Hu, Zhiwei.
Market model for portfolio *credit* derivatives.

Degree: 2009, Hong Kong University of Science and Technology

URL: https://doi.org/10.14711/thesis-b1070102 ; http://repository.ust.hk/ir/bitstream/1783.1-6223/1/th_redirect.html

► This thesis develops a market model with jump-diffusion dynamics for pricing portfolio *credit* derivatives. The state variables of the market model are mean loss rates,…
(more)

Subjects/Keywords: Credit – Mathematical models; Credit derivatives – Mathematical models; Portfolio management – Mathematical models

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Hu, Z. (2009). Market model for portfolio credit derivatives. (Thesis). Hong Kong University of Science and Technology. Retrieved from https://doi.org/10.14711/thesis-b1070102 ; http://repository.ust.hk/ir/bitstream/1783.1-6223/1/th_redirect.html

Note: this citation may be lacking information needed for this citation format:

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Hu, Zhiwei. “Market model for portfolio credit derivatives.” 2009. Thesis, Hong Kong University of Science and Technology. Accessed March 22, 2018. https://doi.org/10.14711/thesis-b1070102 ; http://repository.ust.hk/ir/bitstream/1783.1-6223/1/th_redirect.html.

Note: this citation may be lacking information needed for this citation format:

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Hu, Zhiwei. “Market model for portfolio credit derivatives.” 2009. Web. 22 Mar 2018.

Vancouver:

Hu Z. Market model for portfolio credit derivatives. [Internet] [Thesis]. Hong Kong University of Science and Technology; 2009. [cited 2018 Mar 22]. Available from: https://doi.org/10.14711/thesis-b1070102 ; http://repository.ust.hk/ir/bitstream/1783.1-6223/1/th_redirect.html.

Note: this citation may be lacking information needed for this citation format:

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Hu Z. Market model for portfolio credit derivatives. [Thesis]. Hong Kong University of Science and Technology; 2009. Available from: https://doi.org/10.14711/thesis-b1070102 ; http://repository.ust.hk/ir/bitstream/1783.1-6223/1/th_redirect.html

Not specified: Masters Thesis or Doctoral Dissertation

Hong Kong University of Science and Technology

2.
Yuen, Chi Hung.
Pricing *credit* swaptions under affine term structure * models*.

Degree: 2009, Hong Kong University of Science and Technology

URL: https://doi.org/10.14711/thesis-b1070045 ; http://repository.ust.hk/ir/bitstream/1783.1-6214/1/th_redirect.html

► This paper develops a semi-closed form formula for pricing *credit* default swaptions under the context of affine *models* by the sub-filtration approach. We assume stochastic…
(more)

Subjects/Keywords: Pricing – Mathematical models; Credit derivatives – Mathematical models

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APA (6^{th} Edition):

Yuen, C. H. (2009). Pricing credit swaptions under affine term structure models. (Thesis). Hong Kong University of Science and Technology. Retrieved from https://doi.org/10.14711/thesis-b1070045 ; http://repository.ust.hk/ir/bitstream/1783.1-6214/1/th_redirect.html

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Yuen, Chi Hung. “Pricing credit swaptions under affine term structure models.” 2009. Thesis, Hong Kong University of Science and Technology. Accessed March 22, 2018. https://doi.org/10.14711/thesis-b1070045 ; http://repository.ust.hk/ir/bitstream/1783.1-6214/1/th_redirect.html.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Yuen, Chi Hung. “Pricing credit swaptions under affine term structure models.” 2009. Web. 22 Mar 2018.

Vancouver:

Yuen CH. Pricing credit swaptions under affine term structure models. [Internet] [Thesis]. Hong Kong University of Science and Technology; 2009. [cited 2018 Mar 22]. Available from: https://doi.org/10.14711/thesis-b1070045 ; http://repository.ust.hk/ir/bitstream/1783.1-6214/1/th_redirect.html.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Yuen CH. Pricing credit swaptions under affine term structure models. [Thesis]. Hong Kong University of Science and Technology; 2009. Available from: https://doi.org/10.14711/thesis-b1070045 ; http://repository.ust.hk/ir/bitstream/1783.1-6214/1/th_redirect.html

Not specified: Masters Thesis or Doctoral Dissertation

Hong Kong University of Science and Technology

3.
Zhao, Chen.
Intra-industry distribution of *credit* supply and export : theory and evidence from China.

Degree: 2012, Hong Kong University of Science and Technology

URL: https://doi.org/10.14711/thesis-b1197876 ; http://repository.ust.hk/ir/bitstream/1783.1-73416/1/th_redirect.html

► This paper explores how to allocate *credit* supply within an industry to increase aggregate export intensity ( export-to-sales ratio) at industry level. We build a…
(more)

Subjects/Keywords: Credit; China; Mathematical models; Export credit

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APA (6^{th} Edition):

Zhao, C. (2012). Intra-industry distribution of credit supply and export : theory and evidence from China. (Thesis). Hong Kong University of Science and Technology. Retrieved from https://doi.org/10.14711/thesis-b1197876 ; http://repository.ust.hk/ir/bitstream/1783.1-73416/1/th_redirect.html

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Zhao, Chen. “Intra-industry distribution of credit supply and export : theory and evidence from China.” 2012. Thesis, Hong Kong University of Science and Technology. Accessed March 22, 2018. https://doi.org/10.14711/thesis-b1197876 ; http://repository.ust.hk/ir/bitstream/1783.1-73416/1/th_redirect.html.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Zhao, Chen. “Intra-industry distribution of credit supply and export : theory and evidence from China.” 2012. Web. 22 Mar 2018.

Vancouver:

Zhao C. Intra-industry distribution of credit supply and export : theory and evidence from China. [Internet] [Thesis]. Hong Kong University of Science and Technology; 2012. [cited 2018 Mar 22]. Available from: https://doi.org/10.14711/thesis-b1197876 ; http://repository.ust.hk/ir/bitstream/1783.1-73416/1/th_redirect.html.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Zhao C. Intra-industry distribution of credit supply and export : theory and evidence from China. [Thesis]. Hong Kong University of Science and Technology; 2012. Available from: https://doi.org/10.14711/thesis-b1197876 ; http://repository.ust.hk/ir/bitstream/1783.1-73416/1/th_redirect.html

Not specified: Masters Thesis or Doctoral Dissertation

University of Hong Kong

4.
Gu, Jiawen.
On *credit* risk modeling and *credit* derivatives
pricing.

Degree: PhD, 2014, University of Hong Kong

URL: http://hdl.handle.net/10722/202367

► In this thesis, efforts are devoted to the stochastic modeling, measurement and evaluation of *credit* risks, the development of *mathematical* and statistical tools to estimate…
(more)

Subjects/Keywords: Credit - Management - Mathematical models; Credit derivatives - Mathematical models; Risk management - Mathematical models

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APA (6^{th} Edition):

Gu, J. (2014). On credit risk modeling and credit derivatives pricing. (Doctoral Dissertation). University of Hong Kong. Retrieved from http://hdl.handle.net/10722/202367

Chicago Manual of Style (16^{th} Edition):

Gu, Jiawen. “On credit risk modeling and credit derivatives pricing.” 2014. Doctoral Dissertation, University of Hong Kong. Accessed March 22, 2018. http://hdl.handle.net/10722/202367.

MLA Handbook (7^{th} Edition):

Gu, Jiawen. “On credit risk modeling and credit derivatives pricing.” 2014. Web. 22 Mar 2018.

Vancouver:

Gu J. On credit risk modeling and credit derivatives pricing. [Internet] [Doctoral dissertation]. University of Hong Kong; 2014. [cited 2018 Mar 22]. Available from: http://hdl.handle.net/10722/202367.

Council of Science Editors:

Gu J. On credit risk modeling and credit derivatives pricing. [Doctoral Dissertation]. University of Hong Kong; 2014. Available from: http://hdl.handle.net/10722/202367

RMIT University

5.
Leung Kan Hing, K.
Investigation of artificial immune systems and variable selection techniques for *credit* scoring.

Degree: 2008, RMIT University

URL: http://researchbank.rmit.edu.au/view/rmit:6726

► Most lending institutions are aware of the importance of having a well-performing *credit* scoring model or scorecard and know that, in order to remain competitive…
(more)

Subjects/Keywords: Fields of Research; Credit Management; Mathematical models

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APA (6^{th} Edition):

Leung Kan Hing, K. (2008). Investigation of artificial immune systems and variable selection techniques for credit scoring. (Thesis). RMIT University. Retrieved from http://researchbank.rmit.edu.au/view/rmit:6726

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Leung Kan Hing, K. “Investigation of artificial immune systems and variable selection techniques for credit scoring.” 2008. Thesis, RMIT University. Accessed March 22, 2018. http://researchbank.rmit.edu.au/view/rmit:6726.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Leung Kan Hing, K. “Investigation of artificial immune systems and variable selection techniques for credit scoring.” 2008. Web. 22 Mar 2018.

Vancouver:

Leung Kan Hing K. Investigation of artificial immune systems and variable selection techniques for credit scoring. [Internet] [Thesis]. RMIT University; 2008. [cited 2018 Mar 22]. Available from: http://researchbank.rmit.edu.au/view/rmit:6726.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Leung Kan Hing K. Investigation of artificial immune systems and variable selection techniques for credit scoring. [Thesis]. RMIT University; 2008. Available from: http://researchbank.rmit.edu.au/view/rmit:6726

Not specified: Masters Thesis or Doctoral Dissertation

Rutgers University

6.
Koo, Jawon, 1976-.
Singular perturbation methods in *credit* derivative modeling:.

Degree: PhD, Mathematics, 2010, Rutgers University

URL: http://hdl.rutgers.edu/1782.2/rucore10001600001.ETD.000052121

►

This thesis introduces the dynamical pricing model and approximation method in pricing a "Collateralized Debt Obligation" (CDO). For this purpose we use a two-dimensional, self-affecting… (more)

Subjects/Keywords: Credit derivatives – Mathematical models; Stochastic processes

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Koo, Jawon, 1. (2010). Singular perturbation methods in credit derivative modeling:. (Doctoral Dissertation). Rutgers University. Retrieved from http://hdl.rutgers.edu/1782.2/rucore10001600001.ETD.000052121

Chicago Manual of Style (16^{th} Edition):

Koo, Jawon, 1976-. “Singular perturbation methods in credit derivative modeling:.” 2010. Doctoral Dissertation, Rutgers University. Accessed March 22, 2018. http://hdl.rutgers.edu/1782.2/rucore10001600001.ETD.000052121.

MLA Handbook (7^{th} Edition):

Koo, Jawon, 1976-. “Singular perturbation methods in credit derivative modeling:.” 2010. Web. 22 Mar 2018.

Vancouver:

Koo, Jawon 1. Singular perturbation methods in credit derivative modeling:. [Internet] [Doctoral dissertation]. Rutgers University; 2010. [cited 2018 Mar 22]. Available from: http://hdl.rutgers.edu/1782.2/rucore10001600001.ETD.000052121.

Council of Science Editors:

Koo, Jawon 1. Singular perturbation methods in credit derivative modeling:. [Doctoral Dissertation]. Rutgers University; 2010. Available from: http://hdl.rutgers.edu/1782.2/rucore10001600001.ETD.000052121

Hong Kong University of Science and Technology

7. Wang, Yihua. Enhanced creditrisk+ : applications and comparison.

Degree: 2010, Hong Kong University of Science and Technology

URL: https://doi.org/10.14711/thesis-b1106710 ; http://repository.ust.hk/ir/bitstream/1783.1-6763/1/th_redirect.html

► CreditRisk+ is one of the most widely implemented *credit* portfolio *models*. The independent factor assumption in the original model proposed by *Credit* Suisse First Boston…
(more)

Subjects/Keywords: Credit – Management – Mathematical models; Risk management – Mathematical models; Portfolio management – Mathematical models

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Wang, Y. (2010). Enhanced creditrisk+ : applications and comparison. (Thesis). Hong Kong University of Science and Technology. Retrieved from https://doi.org/10.14711/thesis-b1106710 ; http://repository.ust.hk/ir/bitstream/1783.1-6763/1/th_redirect.html

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Wang, Yihua. “Enhanced creditrisk+ : applications and comparison.” 2010. Thesis, Hong Kong University of Science and Technology. Accessed March 22, 2018. https://doi.org/10.14711/thesis-b1106710 ; http://repository.ust.hk/ir/bitstream/1783.1-6763/1/th_redirect.html.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Wang, Yihua. “Enhanced creditrisk+ : applications and comparison.” 2010. Web. 22 Mar 2018.

Vancouver:

Wang Y. Enhanced creditrisk+ : applications and comparison. [Internet] [Thesis]. Hong Kong University of Science and Technology; 2010. [cited 2018 Mar 22]. Available from: https://doi.org/10.14711/thesis-b1106710 ; http://repository.ust.hk/ir/bitstream/1783.1-6763/1/th_redirect.html.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Wang Y. Enhanced creditrisk+ : applications and comparison. [Thesis]. Hong Kong University of Science and Technology; 2010. Available from: https://doi.org/10.14711/thesis-b1106710 ; http://repository.ust.hk/ir/bitstream/1783.1-6763/1/th_redirect.html

Not specified: Masters Thesis or Doctoral Dissertation

Ryerson University

8.
[No author].
An empirical application of data envelopment analysis in *credit* rating.

Degree: Master of Applied Science, Mechanical Engineering, 2012, Ryerson University

URL: http://digital.library.ryerson.ca/islandora/object/RULA%3A1391 ;

► Data Envelopment Analysis (DEA) is a nonparametric optimization technique that evaluates the relative efficiency of decision-making units and is used in this thesis as an…
(more)

Subjects/Keywords: Data envelopment analysis; Credit ratings – Mathematical models; Performance – Measurement; Risk – Mathematical models; Credit scoring systems – Evaluation

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APA (6^{th} Edition):

author], [. (2012). An empirical application of data envelopment analysis in credit rating. (Masters Thesis). Ryerson University. Retrieved from http://digital.library.ryerson.ca/islandora/object/RULA%3A1391 ;

Chicago Manual of Style (16^{th} Edition):

author], [No. “An empirical application of data envelopment analysis in credit rating.” 2012. Masters Thesis, Ryerson University. Accessed March 22, 2018. http://digital.library.ryerson.ca/islandora/object/RULA%3A1391 ;.

MLA Handbook (7^{th} Edition):

author], [No. “An empirical application of data envelopment analysis in credit rating.” 2012. Web. 22 Mar 2018.

Vancouver:

author] [. An empirical application of data envelopment analysis in credit rating. [Internet] [Masters thesis]. Ryerson University; 2012. [cited 2018 Mar 22]. Available from: http://digital.library.ryerson.ca/islandora/object/RULA%3A1391 ;.

Council of Science Editors:

author] [. An empirical application of data envelopment analysis in credit rating. [Masters Thesis]. Ryerson University; 2012. Available from: http://digital.library.ryerson.ca/islandora/object/RULA%3A1391 ;

9.
Nguyen, Hai Nam.
Contributions to *credit* risk and interest rate modeling : Contributions à la modélisation du risque de crédit et des taux d'intérêts.

Degree: Docteur es, Mathématiques appliquées, 2014, Evry-Val d'Essonne

URL: http://www.theses.fr/2013EVRY0038

►

Cette thèse traite de plusieurs sujets en mathématiques financières: risque de crédit, optimisation de portefeuille et modélisation des taux d’intérêts. Le chapitre 1 consiste en… (more)

Subjects/Keywords: Maximisation d'utilité; Mathematical finance; Credit risk; Interest rate models

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APA (6^{th} Edition):

Nguyen, H. N. (2014). Contributions to credit risk and interest rate modeling : Contributions à la modélisation du risque de crédit et des taux d'intérêts. (Doctoral Dissertation). Evry-Val d'Essonne. Retrieved from http://www.theses.fr/2013EVRY0038

Chicago Manual of Style (16^{th} Edition):

Nguyen, Hai Nam. “Contributions to credit risk and interest rate modeling : Contributions à la modélisation du risque de crédit et des taux d'intérêts.” 2014. Doctoral Dissertation, Evry-Val d'Essonne. Accessed March 22, 2018. http://www.theses.fr/2013EVRY0038.

MLA Handbook (7^{th} Edition):

Nguyen, Hai Nam. “Contributions to credit risk and interest rate modeling : Contributions à la modélisation du risque de crédit et des taux d'intérêts.” 2014. Web. 22 Mar 2018.

Vancouver:

Nguyen HN. Contributions to credit risk and interest rate modeling : Contributions à la modélisation du risque de crédit et des taux d'intérêts. [Internet] [Doctoral dissertation]. Evry-Val d'Essonne; 2014. [cited 2018 Mar 22]. Available from: http://www.theses.fr/2013EVRY0038.

Council of Science Editors:

Nguyen HN. Contributions to credit risk and interest rate modeling : Contributions à la modélisation du risque de crédit et des taux d'intérêts. [Doctoral Dissertation]. Evry-Val d'Essonne; 2014. Available from: http://www.theses.fr/2013EVRY0038

10.
Shi, Ming, 1979-.
Local intensity and its dynamics in multi-name *credit* derivatives modeling:.

Degree: PhD, Mathematics, 2010, Rutgers University

URL: http://hdl.rutgers.edu/1782.2/rucore10001600001.ETD.000052150

►

We import the problems and techniques developed for the local volatility model in equity derivatives to multi-name *credit* modeling, propose and solve analogous problems. In…
(more)

Subjects/Keywords: Credit derivatives – Mathematical models

…the dynamics of *credit* risk. Reduced form *models* assume that default occurs without
warning… …*credit* *models* give more or less realistic dynamics of the loss
process N (t), and can… …*credit* modeling inspired by the perspective of local volatility
*models* from equity derivative… …this approach will lead to new multiname *credit* derivative *models*.
We also plan to… …industry today.
In the second section we briefly introduce the *mathematical* tools used in *credit*…

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Shi, Ming, 1. (2010). Local intensity and its dynamics in multi-name credit derivatives modeling:. (Doctoral Dissertation). Rutgers University. Retrieved from http://hdl.rutgers.edu/1782.2/rucore10001600001.ETD.000052150

Chicago Manual of Style (16^{th} Edition):

Shi, Ming, 1979-. “Local intensity and its dynamics in multi-name credit derivatives modeling:.” 2010. Doctoral Dissertation, Rutgers University. Accessed March 22, 2018. http://hdl.rutgers.edu/1782.2/rucore10001600001.ETD.000052150.

MLA Handbook (7^{th} Edition):

Shi, Ming, 1979-. “Local intensity and its dynamics in multi-name credit derivatives modeling:.” 2010. Web. 22 Mar 2018.

Vancouver:

Shi, Ming 1. Local intensity and its dynamics in multi-name credit derivatives modeling:. [Internet] [Doctoral dissertation]. Rutgers University; 2010. [cited 2018 Mar 22]. Available from: http://hdl.rutgers.edu/1782.2/rucore10001600001.ETD.000052150.

Council of Science Editors:

Shi, Ming 1. Local intensity and its dynamics in multi-name credit derivatives modeling:. [Doctoral Dissertation]. Rutgers University; 2010. Available from: http://hdl.rutgers.edu/1782.2/rucore10001600001.ETD.000052150

Hong Kong University of Science and Technology

11.
Chu, Chi Chiu.
No arbitrage approach for pricing *credit* spread derivatives.

Degree: 2002, Hong Kong University of Science and Technology

URL: https://doi.org/10.14711/thesis-b776194 ; http://repository.ust.hk/ir/bitstream/1783.1-5130/1/th_redirect.html

► This thesis develops the no arbitrage approach for pricing *credit* spread derivatives which have the payoff depending on the terminal value of the *credit* spread…
(more)

Subjects/Keywords: Pricing – Mathematical models; Credit derivatives – Mathematical models

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APA (6^{th} Edition):

Chu, C. C. (2002). No arbitrage approach for pricing credit spread derivatives. (Thesis). Hong Kong University of Science and Technology. Retrieved from https://doi.org/10.14711/thesis-b776194 ; http://repository.ust.hk/ir/bitstream/1783.1-5130/1/th_redirect.html

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Chu, Chi Chiu. “No arbitrage approach for pricing credit spread derivatives.” 2002. Thesis, Hong Kong University of Science and Technology. Accessed March 22, 2018. https://doi.org/10.14711/thesis-b776194 ; http://repository.ust.hk/ir/bitstream/1783.1-5130/1/th_redirect.html.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Chu, Chi Chiu. “No arbitrage approach for pricing credit spread derivatives.” 2002. Web. 22 Mar 2018.

Vancouver:

Chu CC. No arbitrage approach for pricing credit spread derivatives. [Internet] [Thesis]. Hong Kong University of Science and Technology; 2002. [cited 2018 Mar 22]. Available from: https://doi.org/10.14711/thesis-b776194 ; http://repository.ust.hk/ir/bitstream/1783.1-5130/1/th_redirect.html.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Chu CC. No arbitrage approach for pricing credit spread derivatives. [Thesis]. Hong Kong University of Science and Technology; 2002. Available from: https://doi.org/10.14711/thesis-b776194 ; http://repository.ust.hk/ir/bitstream/1783.1-5130/1/th_redirect.html

Not specified: Masters Thesis or Doctoral Dissertation

McGill University

12.
Li, Xiaofei, 1972-.
Three essays on the pricing of fixed income securities with *credit* risk.

Degree: PhD, Faculty of Management., 2004, McGill University

URL: http://digitool.library.mcgill.ca/thesisfile84523.pdf

► This thesis studies the impacts of *credit* risk, or the risk of default, on the pricing of fixed income securities. It consists of three essays.…
(more)

Subjects/Keywords: Credit – Mathematical models; Risk management.; Securities – Valuation – Mathematical models

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Li, Xiaofei, 1. (2004). Three essays on the pricing of fixed income securities with credit risk. (Doctoral Dissertation). McGill University. Retrieved from http://digitool.library.mcgill.ca/thesisfile84523.pdf

Chicago Manual of Style (16^{th} Edition):

Li, Xiaofei, 1972-. “Three essays on the pricing of fixed income securities with credit risk.” 2004. Doctoral Dissertation, McGill University. Accessed March 22, 2018. http://digitool.library.mcgill.ca/thesisfile84523.pdf.

MLA Handbook (7^{th} Edition):

Li, Xiaofei, 1972-. “Three essays on the pricing of fixed income securities with credit risk.” 2004. Web. 22 Mar 2018.

Vancouver:

Li, Xiaofei 1. Three essays on the pricing of fixed income securities with credit risk. [Internet] [Doctoral dissertation]. McGill University; 2004. [cited 2018 Mar 22]. Available from: http://digitool.library.mcgill.ca/thesisfile84523.pdf.

Council of Science Editors:

Li, Xiaofei 1. Three essays on the pricing of fixed income securities with credit risk. [Doctoral Dissertation]. McGill University; 2004. Available from: http://digitool.library.mcgill.ca/thesisfile84523.pdf

University of Texas – Austin

13.
Tang, Yongjun.
Essays on *credit* risk.

Degree: Finance, 2005, University of Texas – Austin

URL: http://hdl.handle.net/2152/2339

► This dissertation examines the determinants of *credit* spreads. The purpose and contribution of this dissertation is to provide a more comprehensive and coherent view of…
(more)

Subjects/Keywords: Risk; Credit; Risk – Mathematical models; Credit – Mathematical models; Swaps (Finance)

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APA (6^{th} Edition):

Tang, Y. (2005). Essays on credit risk. (Thesis). University of Texas – Austin. Retrieved from http://hdl.handle.net/2152/2339

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Tang, Yongjun. “Essays on credit risk.” 2005. Thesis, University of Texas – Austin. Accessed March 22, 2018. http://hdl.handle.net/2152/2339.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Tang, Yongjun. “Essays on credit risk.” 2005. Web. 22 Mar 2018.

Vancouver:

Tang Y. Essays on credit risk. [Internet] [Thesis]. University of Texas – Austin; 2005. [cited 2018 Mar 22]. Available from: http://hdl.handle.net/2152/2339.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Tang Y. Essays on credit risk. [Thesis]. University of Texas – Austin; 2005. Available from: http://hdl.handle.net/2152/2339

Not specified: Masters Thesis or Doctoral Dissertation

Hong Kong University of Science and Technology

14. Li, Chunhong. Essays on CDS trading, CVA and FVA with gap risk, and a post-crisis dual-curve affine model.

Degree: 2014, Hong Kong University of Science and Technology

URL: https://doi.org/10.14711/thesis-b1302301 ; http://repository.ust.hk/ir/bitstream/1783.1-65676/1/th_redirect.html

► This thesis consists of three parts and focuses on issues of financial market after the financial crisis. In the first part, we propose two *models*…
(more)

Subjects/Keywords: Credit derivatives; Mathematical models; Swaps (Finance); Default (Finance); Financial risk; Risk management

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APA (6^{th} Edition):

Li, C. (2014). Essays on CDS trading, CVA and FVA with gap risk, and a post-crisis dual-curve affine model. (Thesis). Hong Kong University of Science and Technology. Retrieved from https://doi.org/10.14711/thesis-b1302301 ; http://repository.ust.hk/ir/bitstream/1783.1-65676/1/th_redirect.html

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Li, Chunhong. “Essays on CDS trading, CVA and FVA with gap risk, and a post-crisis dual-curve affine model.” 2014. Thesis, Hong Kong University of Science and Technology. Accessed March 22, 2018. https://doi.org/10.14711/thesis-b1302301 ; http://repository.ust.hk/ir/bitstream/1783.1-65676/1/th_redirect.html.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Li, Chunhong. “Essays on CDS trading, CVA and FVA with gap risk, and a post-crisis dual-curve affine model.” 2014. Web. 22 Mar 2018.

Vancouver:

Li C. Essays on CDS trading, CVA and FVA with gap risk, and a post-crisis dual-curve affine model. [Internet] [Thesis]. Hong Kong University of Science and Technology; 2014. [cited 2018 Mar 22]. Available from: https://doi.org/10.14711/thesis-b1302301 ; http://repository.ust.hk/ir/bitstream/1783.1-65676/1/th_redirect.html.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Li C. Essays on CDS trading, CVA and FVA with gap risk, and a post-crisis dual-curve affine model. [Thesis]. Hong Kong University of Science and Technology; 2014. Available from: https://doi.org/10.14711/thesis-b1302301 ; http://repository.ust.hk/ir/bitstream/1783.1-65676/1/th_redirect.html

Not specified: Masters Thesis or Doctoral Dissertation

University of Hong Kong

15.
Li, Tang.
Markov chain *models* for re-manufacturing systems and
*credit* risk management.

Degree: M. Phil., 2008, University of Hong Kong

URL: Li, T. [李唐]. (2008). Markov chain models for re-manufacturing systems and credit risk management. (Thesis). University of Hong Kong, Pokfulam, Hong Kong SAR. Retrieved from http://dx.doi.org/10.5353/th_b4020370 ; http://dx.doi.org/10.5353/th_b4020370

published_or_final_version

Mathematics

Master

Master of Philosophy

Subjects/Keywords: Remanufacturing - Mathematical models.; Credit - Mathematical models.; Risk management - Mathematical models.; Markov processes.

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Li, T. (2008). Markov chain models for re-manufacturing systems and credit risk management. (Masters Thesis). University of Hong Kong. Retrieved from Li, T. [李唐]. (2008). Markov chain models for re-manufacturing systems and credit risk management. (Thesis). University of Hong Kong, Pokfulam, Hong Kong SAR. Retrieved from http://dx.doi.org/10.5353/th_b4020370 ; http://dx.doi.org/10.5353/th_b4020370

Chicago Manual of Style (16^{th} Edition):

Li, Tang. “Markov chain models for re-manufacturing systems and credit risk management.” 2008. Masters Thesis, University of Hong Kong. Accessed March 22, 2018. Li, T. [李唐]. (2008). Markov chain models for re-manufacturing systems and credit risk management. (Thesis). University of Hong Kong, Pokfulam, Hong Kong SAR. Retrieved from http://dx.doi.org/10.5353/th_b4020370 ; http://dx.doi.org/10.5353/th_b4020370.

MLA Handbook (7^{th} Edition):

Li, Tang. “Markov chain models for re-manufacturing systems and credit risk management.” 2008. Web. 22 Mar 2018.

Vancouver:

Li T. Markov chain models for re-manufacturing systems and credit risk management. [Internet] [Masters thesis]. University of Hong Kong; 2008. [cited 2018 Mar 22]. Available from: Li, T. [李唐]. (2008). Markov chain models for re-manufacturing systems and credit risk management. (Thesis). University of Hong Kong, Pokfulam, Hong Kong SAR. Retrieved from http://dx.doi.org/10.5353/th_b4020370 ; http://dx.doi.org/10.5353/th_b4020370.

Council of Science Editors:

Li T. Markov chain models for re-manufacturing systems and credit risk management. [Masters Thesis]. University of Hong Kong; 2008. Available from: Li, T. [李唐]. (2008). Markov chain models for re-manufacturing systems and credit risk management. (Thesis). University of Hong Kong, Pokfulam, Hong Kong SAR. Retrieved from http://dx.doi.org/10.5353/th_b4020370 ; http://dx.doi.org/10.5353/th_b4020370

Hong Kong University of Science and Technology

16.
Ho, Siu Lam.
Lévy LIBOR model and *credit* risk.

Degree: 2007, Hong Kong University of Science and Technology

URL: https://doi.org/10.14711/thesis-b991366 ; http://repository.ust.hk/ir/bitstream/1783.1-3154/1/th_redirect.html

► In this thesis, we extend the LIBOR market model (LMM) by allowing the underlying LIBOR to follow a Lévy process, which can be viewed as…
(more)

Subjects/Keywords: Interest rates – Mathematical models; Credit – Management – Mathematical models; Risk management – Mathematical models

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Ho, S. L. (2007). Lévy LIBOR model and credit risk. (Thesis). Hong Kong University of Science and Technology. Retrieved from https://doi.org/10.14711/thesis-b991366 ; http://repository.ust.hk/ir/bitstream/1783.1-3154/1/th_redirect.html

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Ho, Siu Lam. “Lévy LIBOR model and credit risk.” 2007. Thesis, Hong Kong University of Science and Technology. Accessed March 22, 2018. https://doi.org/10.14711/thesis-b991366 ; http://repository.ust.hk/ir/bitstream/1783.1-3154/1/th_redirect.html.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Ho, Siu Lam. “Lévy LIBOR model and credit risk.” 2007. Web. 22 Mar 2018.

Vancouver:

Ho SL. Lévy LIBOR model and credit risk. [Internet] [Thesis]. Hong Kong University of Science and Technology; 2007. [cited 2018 Mar 22]. Available from: https://doi.org/10.14711/thesis-b991366 ; http://repository.ust.hk/ir/bitstream/1783.1-3154/1/th_redirect.html.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Ho SL. Lévy LIBOR model and credit risk. [Thesis]. Hong Kong University of Science and Technology; 2007. Available from: https://doi.org/10.14711/thesis-b991366 ; http://repository.ust.hk/ir/bitstream/1783.1-3154/1/th_redirect.html

Not specified: Masters Thesis or Doctoral Dissertation

Hong Kong University of Science and Technology

17.
Leung, Kwai Sun.
Essays on exotic option pricing and *credit* risk modeling.

Degree: 2006, Hong Kong University of Science and Technology

URL: https://doi.org/10.14711/thesis-b930774 ; http://repository.ust.hk/ir/bitstream/1783.1-2721/1/th_redirect.html

► In the first part of this thesis, I make use of the notion of excursion and occu-pation time of a diffusion process to study the…
(more)

Subjects/Keywords: Options (Finance) – Prices – Mathematical models; Credit – Management – Mathematical models; Risk management – Mathematical models

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Leung, K. S. (2006). Essays on exotic option pricing and credit risk modeling. (Thesis). Hong Kong University of Science and Technology. Retrieved from https://doi.org/10.14711/thesis-b930774 ; http://repository.ust.hk/ir/bitstream/1783.1-2721/1/th_redirect.html

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Leung, Kwai Sun. “Essays on exotic option pricing and credit risk modeling.” 2006. Thesis, Hong Kong University of Science and Technology. Accessed March 22, 2018. https://doi.org/10.14711/thesis-b930774 ; http://repository.ust.hk/ir/bitstream/1783.1-2721/1/th_redirect.html.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Leung, Kwai Sun. “Essays on exotic option pricing and credit risk modeling.” 2006. Web. 22 Mar 2018.

Vancouver:

Leung KS. Essays on exotic option pricing and credit risk modeling. [Internet] [Thesis]. Hong Kong University of Science and Technology; 2006. [cited 2018 Mar 22]. Available from: https://doi.org/10.14711/thesis-b930774 ; http://repository.ust.hk/ir/bitstream/1783.1-2721/1/th_redirect.html.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Leung KS. Essays on exotic option pricing and credit risk modeling. [Thesis]. Hong Kong University of Science and Technology; 2006. Available from: https://doi.org/10.14711/thesis-b930774 ; http://repository.ust.hk/ir/bitstream/1783.1-2721/1/th_redirect.html

Not specified: Masters Thesis or Doctoral Dissertation

Macquarie University

18.
Gurny, Martin.
Default probabilities in *credit* risk management: estimation, model calibration and backtesting.

Degree: Applied Finance and Actuarial Studies, Faculty of Business and Economics, Macquarie University Sydney, Australia andDepartment o, 2016, Macquarie University

URL: http://hdl.handle.net/1959.14/1150613

►

Theoretical thesis.

Bibliography: pages 171-181.

1. Introduction – 2. Structural *credit* risk *models* with subordinated processes – 3. Prediction of U.S. commercial bank failures via…
(more)

Subjects/Keywords: Financial risk management – Mathematical models; Probabilities – Mathematical models; credit risk; PD; structural models; stable Paretian distributions; credit scoring models; FFIEC database; hazard model; renewable energy; EDF measure; asset pricing models; raw and risk-adjusted returns

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Gurny, M. (2016). Default probabilities in credit risk management: estimation, model calibration and backtesting. (Doctoral Dissertation). Macquarie University. Retrieved from http://hdl.handle.net/1959.14/1150613

Chicago Manual of Style (16^{th} Edition):

Gurny, Martin. “Default probabilities in credit risk management: estimation, model calibration and backtesting.” 2016. Doctoral Dissertation, Macquarie University. Accessed March 22, 2018. http://hdl.handle.net/1959.14/1150613.

MLA Handbook (7^{th} Edition):

Gurny, Martin. “Default probabilities in credit risk management: estimation, model calibration and backtesting.” 2016. Web. 22 Mar 2018.

Vancouver:

Gurny M. Default probabilities in credit risk management: estimation, model calibration and backtesting. [Internet] [Doctoral dissertation]. Macquarie University; 2016. [cited 2018 Mar 22]. Available from: http://hdl.handle.net/1959.14/1150613.

Council of Science Editors:

Gurny M. Default probabilities in credit risk management: estimation, model calibration and backtesting. [Doctoral Dissertation]. Macquarie University; 2016. Available from: http://hdl.handle.net/1959.14/1150613

Virginia Tech

19.
Datta, Bipasa.
Essays on *credit* rationing and borrowing constraints.

Degree: Economics, 1991, Virginia Tech

URL: http://hdl.handle.net/10919/37414

see document
*Advisors/Committee Members: Eckel, Catherine C. (committee member), Loewenstein, Mark A. (committee member), Steinberg, Richard (committee member), Haller, Hans H. (committeecochair), Ioannides, Yannis M. (committeecochair).*

Subjects/Keywords: Consumer credit Mathematical models.; Bank loans Mathematical models.; Credit control Mathematical models.; LD5655.V856 1991.D379

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Datta, B. (1991). Essays on credit rationing and borrowing constraints. (Thesis). Virginia Tech. Retrieved from http://hdl.handle.net/10919/37414

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Datta, Bipasa. “Essays on credit rationing and borrowing constraints.” 1991. Thesis, Virginia Tech. Accessed March 22, 2018. http://hdl.handle.net/10919/37414.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Datta, Bipasa. “Essays on credit rationing and borrowing constraints.” 1991. Web. 22 Mar 2018.

Vancouver:

Datta B. Essays on credit rationing and borrowing constraints. [Internet] [Thesis]. Virginia Tech; 1991. [cited 2018 Mar 22]. Available from: http://hdl.handle.net/10919/37414.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Datta B. Essays on credit rationing and borrowing constraints. [Thesis]. Virginia Tech; 1991. Available from: http://hdl.handle.net/10919/37414

Not specified: Masters Thesis or Doctoral Dissertation

Indian Institute of Science

20.
Banerjee, Tamal.
Analyzing *Credit* Risk *Models* In A Regime Switching Market.

Degree: 2012, Indian Institute of Science

URL: http://etd.iisc.ernet.in/handle/2005/2517 ; http://etd.ncsi.iisc.ernet.in/abstracts/3266/G25537-Abs.pdf

► Recently, the financial world witnessed a series of major defaults by several institutions and investment banks. Therefore, it is not at all surprising that *credit*…
(more)

Subjects/Keywords: Mathematical Finance; Credit Risk Model; Regime Switching Market; Credit Risk Analysis; Credit Derivatives Market; Defaultable Bonds - Pricing; Credit Derivatives Prices; Markov Modulated Market; Reduced Form Model; Regime Switching Models; Credit Risk; Financial Economics

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Banerjee, T. (2012). Analyzing Credit Risk Models In A Regime Switching Market. (Thesis). Indian Institute of Science. Retrieved from http://etd.iisc.ernet.in/handle/2005/2517 ; http://etd.ncsi.iisc.ernet.in/abstracts/3266/G25537-Abs.pdf

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Banerjee, Tamal. “Analyzing Credit Risk Models In A Regime Switching Market.” 2012. Thesis, Indian Institute of Science. Accessed March 22, 2018. http://etd.iisc.ernet.in/handle/2005/2517 ; http://etd.ncsi.iisc.ernet.in/abstracts/3266/G25537-Abs.pdf.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Banerjee, Tamal. “Analyzing Credit Risk Models In A Regime Switching Market.” 2012. Web. 22 Mar 2018.

Vancouver:

Banerjee T. Analyzing Credit Risk Models In A Regime Switching Market. [Internet] [Thesis]. Indian Institute of Science; 2012. [cited 2018 Mar 22]. Available from: http://etd.iisc.ernet.in/handle/2005/2517 ; http://etd.ncsi.iisc.ernet.in/abstracts/3266/G25537-Abs.pdf.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Banerjee T. Analyzing Credit Risk Models In A Regime Switching Market. [Thesis]. Indian Institute of Science; 2012. Available from: http://etd.iisc.ernet.in/handle/2005/2517 ; http://etd.ncsi.iisc.ernet.in/abstracts/3266/G25537-Abs.pdf

Not specified: Masters Thesis or Doctoral Dissertation

Indian Institute of Science

21.
Banerjee, Tamal.
Analyzing *Credit* Risk *Models* In A Regime Switching Market.

Degree: 2012, Indian Institute of Science

URL: http://hdl.handle.net/2005/2517

► Recently, the financial world witnessed a series of major defaults by several institutions and investment banks. Therefore, it is not at all surprising that *credit*…
(more)

Subjects/Keywords: Mathematical Finance; Credit Risk Model; Regime Switching Market; Credit Risk Analysis; Credit Derivatives Market; Defaultable Bonds - Pricing; Credit Derivatives Prices; Markov Modulated Market; Reduced Form Model; Regime Switching Models; Credit Risk; Financial Economics

Record Details Similar Records

❌

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Banerjee, T. (2012). Analyzing Credit Risk Models In A Regime Switching Market. (Thesis). Indian Institute of Science. Retrieved from http://hdl.handle.net/2005/2517

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Banerjee, Tamal. “Analyzing Credit Risk Models In A Regime Switching Market.” 2012. Thesis, Indian Institute of Science. Accessed March 22, 2018. http://hdl.handle.net/2005/2517.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Banerjee, Tamal. “Analyzing Credit Risk Models In A Regime Switching Market.” 2012. Web. 22 Mar 2018.

Vancouver:

Banerjee T. Analyzing Credit Risk Models In A Regime Switching Market. [Internet] [Thesis]. Indian Institute of Science; 2012. [cited 2018 Mar 22]. Available from: http://hdl.handle.net/2005/2517.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Banerjee T. Analyzing Credit Risk Models In A Regime Switching Market. [Thesis]. Indian Institute of Science; 2012. Available from: http://hdl.handle.net/2005/2517

Not specified: Masters Thesis or Doctoral Dissertation

Hong Kong University of Science and Technology

22.
Kong, Jean Jin.
Topics on strategic games between two asymmetric firms and pricing of *credit* default swap by multi-variate rational lognormal model.

Degree: 2006, Hong Kong University of Science and Technology

URL: https://doi.org/10.14711/thesis-b938165 ; http://repository.ust.hk/ir/bitstream/1783.1-2856/1/th_redirect.html

► In this thesis, we study two main topics. One is related to Real Options of competing firms and the other on pricing *credit* default swap…
(more)

Subjects/Keywords: Strategic planning – Mathematical models; Real options (Finance) – Mathematical models; Game theory – Mathematical models; Credit derivatives – Mathematical models

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Kong, J. J. (2006). Topics on strategic games between two asymmetric firms and pricing of credit default swap by multi-variate rational lognormal model. (Thesis). Hong Kong University of Science and Technology. Retrieved from https://doi.org/10.14711/thesis-b938165 ; http://repository.ust.hk/ir/bitstream/1783.1-2856/1/th_redirect.html

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Kong, Jean Jin. “Topics on strategic games between two asymmetric firms and pricing of credit default swap by multi-variate rational lognormal model.” 2006. Thesis, Hong Kong University of Science and Technology. Accessed March 22, 2018. https://doi.org/10.14711/thesis-b938165 ; http://repository.ust.hk/ir/bitstream/1783.1-2856/1/th_redirect.html.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Kong, Jean Jin. “Topics on strategic games between two asymmetric firms and pricing of credit default swap by multi-variate rational lognormal model.” 2006. Web. 22 Mar 2018.

Vancouver:

Kong JJ. Topics on strategic games between two asymmetric firms and pricing of credit default swap by multi-variate rational lognormal model. [Internet] [Thesis]. Hong Kong University of Science and Technology; 2006. [cited 2018 Mar 22]. Available from: https://doi.org/10.14711/thesis-b938165 ; http://repository.ust.hk/ir/bitstream/1783.1-2856/1/th_redirect.html.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Kong JJ. Topics on strategic games between two asymmetric firms and pricing of credit default swap by multi-variate rational lognormal model. [Thesis]. Hong Kong University of Science and Technology; 2006. Available from: https://doi.org/10.14711/thesis-b938165 ; http://repository.ust.hk/ir/bitstream/1783.1-2856/1/th_redirect.html

Not specified: Masters Thesis or Doctoral Dissertation

Hong Kong University of Science and Technology

23. Leung, Seng Yuen. Analysis of counterparty risks and derivative pricing under stochastic volatility.

Degree: 2004, Hong Kong University of Science and Technology

URL: https://doi.org/10.14711/thesis-b839554 ; http://repository.ust.hk/ir/bitstream/1783.1-2103/1/th_redirect.html

► The understanding of correlation between default events is of importance to *credit* risk analysis, portfolio management and valuation of *credit* sensitive instruments. In the first…
(more)

Subjects/Keywords: Risk management – Mathematical models; Derivative securities – Prices – Mathematical models; Credit derivatives – Mathematical models; Stochastic processes – Mathematical models

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Leung, S. Y. (2004). Analysis of counterparty risks and derivative pricing under stochastic volatility. (Thesis). Hong Kong University of Science and Technology. Retrieved from https://doi.org/10.14711/thesis-b839554 ; http://repository.ust.hk/ir/bitstream/1783.1-2103/1/th_redirect.html

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Leung, Seng Yuen. “Analysis of counterparty risks and derivative pricing under stochastic volatility.” 2004. Thesis, Hong Kong University of Science and Technology. Accessed March 22, 2018. https://doi.org/10.14711/thesis-b839554 ; http://repository.ust.hk/ir/bitstream/1783.1-2103/1/th_redirect.html.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Leung, Seng Yuen. “Analysis of counterparty risks and derivative pricing under stochastic volatility.” 2004. Web. 22 Mar 2018.

Vancouver:

Leung SY. Analysis of counterparty risks and derivative pricing under stochastic volatility. [Internet] [Thesis]. Hong Kong University of Science and Technology; 2004. [cited 2018 Mar 22]. Available from: https://doi.org/10.14711/thesis-b839554 ; http://repository.ust.hk/ir/bitstream/1783.1-2103/1/th_redirect.html.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Leung SY. Analysis of counterparty risks and derivative pricing under stochastic volatility. [Thesis]. Hong Kong University of Science and Technology; 2004. Available from: https://doi.org/10.14711/thesis-b839554 ; http://repository.ust.hk/ir/bitstream/1783.1-2103/1/th_redirect.html

Not specified: Masters Thesis or Doctoral Dissertation

Edith Cowan University

24. Powell, Robert. Industry value at risk in Australia.

Degree: 2007, Edith Cowan University

URL: http://ro.ecu.edu.au/theses/297

► Value at Risk (VaR) *models* have gained increasing momentum in recent years. Market VaR is an important issue for banks since its adoption as a…
(more)

Subjects/Keywords: Risk management; Mathematical models; Credit; Management; Mathematical models.; Banking and Finance Law

Record Details Similar Records

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APA (6^{th} Edition):

Powell, R. (2007). Industry value at risk in Australia. (Thesis). Edith Cowan University. Retrieved from http://ro.ecu.edu.au/theses/297

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Powell, Robert. “Industry value at risk in Australia.” 2007. Thesis, Edith Cowan University. Accessed March 22, 2018. http://ro.ecu.edu.au/theses/297.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Powell, Robert. “Industry value at risk in Australia.” 2007. Web. 22 Mar 2018.

Vancouver:

Powell R. Industry value at risk in Australia. [Internet] [Thesis]. Edith Cowan University; 2007. [cited 2018 Mar 22]. Available from: http://ro.ecu.edu.au/theses/297.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Powell R. Industry value at risk in Australia. [Thesis]. Edith Cowan University; 2007. Available from: http://ro.ecu.edu.au/theses/297

Not specified: Masters Thesis or Doctoral Dissertation

Montana State University

25. Pidruchney, Patricia. Loan refinancing decision model.

Degree: College of Agriculture, 1984, Montana State University

URL: https://scholarworks.montana.edu/xmlui/handle/1/5905

Subjects/Keywords: Agricultural credit.; Interest rates.; Finance charges.; Loans.; Mathematical models.

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Pidruchney, P. (1984). Loan refinancing decision model. (Thesis). Montana State University. Retrieved from https://scholarworks.montana.edu/xmlui/handle/1/5905

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Pidruchney, Patricia. “Loan refinancing decision model.” 1984. Thesis, Montana State University. Accessed March 22, 2018. https://scholarworks.montana.edu/xmlui/handle/1/5905.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Pidruchney, Patricia. “Loan refinancing decision model.” 1984. Web. 22 Mar 2018.

Vancouver:

Pidruchney P. Loan refinancing decision model. [Internet] [Thesis]. Montana State University; 1984. [cited 2018 Mar 22]. Available from: https://scholarworks.montana.edu/xmlui/handle/1/5905.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Pidruchney P. Loan refinancing decision model. [Thesis]. Montana State University; 1984. Available from: https://scholarworks.montana.edu/xmlui/handle/1/5905

Not specified: Masters Thesis or Doctoral Dissertation

East Carolina University

26.
Bennett, Jessica J.
The Effect of the Mathematics of Finance on the Dynamics of a *Credit* Economy.

Degree: 2012, East Carolina University

URL: http://hdl.handle.net/10342/3844

► The general equilibrium theory of J.M. Keynes was developed in the 1930's to help explain the great depression and prevent future economic downturns. Out of…
(more)

Subjects/Keywords: Mathematics; Economics; Finance; Credit economy; Delay differential equations; Dynamics; Eigenvalues; Economics – Mathematical models; Keynesian economics; IS-LM model (Macroeconomics)

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Bennett, J. J. (2012). The Effect of the Mathematics of Finance on the Dynamics of a Credit Economy. (Thesis). East Carolina University. Retrieved from http://hdl.handle.net/10342/3844

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Bennett, Jessica J. “The Effect of the Mathematics of Finance on the Dynamics of a Credit Economy.” 2012. Thesis, East Carolina University. Accessed March 22, 2018. http://hdl.handle.net/10342/3844.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Bennett, Jessica J. “The Effect of the Mathematics of Finance on the Dynamics of a Credit Economy.” 2012. Web. 22 Mar 2018.

Vancouver:

Bennett JJ. The Effect of the Mathematics of Finance on the Dynamics of a Credit Economy. [Internet] [Thesis]. East Carolina University; 2012. [cited 2018 Mar 22]. Available from: http://hdl.handle.net/10342/3844.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Bennett JJ. The Effect of the Mathematics of Finance on the Dynamics of a Credit Economy. [Thesis]. East Carolina University; 2012. Available from: http://hdl.handle.net/10342/3844

Not specified: Masters Thesis or Doctoral Dissertation

Stellenbosch University

27. Walljee, Raabia. The Levy-LIBOR model with default risk.

Degree: MSc, 2015, Stellenbosch University

URL: http://hdl.handle.net/10019.1/96957

►

ENGLISH ABSTRACT : In recent years, the use of Lévy processes as a modelling tool has come to be viewed more favourably than the use… (more)

Subjects/Keywords: Levy processes; Levy Libor model; Credit risk management; UCTD; Finance – Mathematical models; Financial risk management; Brownian motion processes; Brownian motion processes

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Walljee, R. (2015). The Levy-LIBOR model with default risk. (Masters Thesis). Stellenbosch University. Retrieved from http://hdl.handle.net/10019.1/96957

Chicago Manual of Style (16^{th} Edition):

Walljee, Raabia. “The Levy-LIBOR model with default risk.” 2015. Masters Thesis, Stellenbosch University. Accessed March 22, 2018. http://hdl.handle.net/10019.1/96957.

MLA Handbook (7^{th} Edition):

Walljee, Raabia. “The Levy-LIBOR model with default risk.” 2015. Web. 22 Mar 2018.

Vancouver:

Walljee R. The Levy-LIBOR model with default risk. [Internet] [Masters thesis]. Stellenbosch University; 2015. [cited 2018 Mar 22]. Available from: http://hdl.handle.net/10019.1/96957.

Council of Science Editors:

Walljee R. The Levy-LIBOR model with default risk. [Masters Thesis]. Stellenbosch University; 2015. Available from: http://hdl.handle.net/10019.1/96957

28. Nezami Narajabad, Borghan, 1979-. Essays on dynamic markets with heterogeneous agents.

Degree: Economics, 2007, University of Texas – Austin

URL: http://hdl.handle.net/2152/13315

Subjects/Keywords: Diversification in industry – Mathematical models; Consumers' preferences – Mathematical models; Supply and demand – Mathematical models; Competition – Mathematical models; Duopolies – Mathematical models; Technological innovations – Mathematical models; Consumer credit – Mathematical models; Default (Finance) – Mathematical models; Credit ratings – Mathematical models

…method of modeling the
*credit* market would be employing dynamic signaling *models*; these *models*… …filings have quadrupled and the level of
*credit* card debt has doubled. I try to explain both of… …these facts as a result of a more
informative *credit* rating technology. I consider an… …As the signal becomes
more informative, the *credit* market will provide a higher *credit*… …cost of default. Using
SMM, I estimate the model to match data on the averages of *credit*…

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Nezami Narajabad, Borghan, 1. (2007). Essays on dynamic markets with heterogeneous agents. (Thesis). University of Texas – Austin. Retrieved from http://hdl.handle.net/2152/13315

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Nezami Narajabad, Borghan, 1979-. “Essays on dynamic markets with heterogeneous agents.” 2007. Thesis, University of Texas – Austin. Accessed March 22, 2018. http://hdl.handle.net/2152/13315.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Nezami Narajabad, Borghan, 1979-. “Essays on dynamic markets with heterogeneous agents.” 2007. Web. 22 Mar 2018.

Vancouver:

Nezami Narajabad, Borghan 1. Essays on dynamic markets with heterogeneous agents. [Internet] [Thesis]. University of Texas – Austin; 2007. [cited 2018 Mar 22]. Available from: http://hdl.handle.net/2152/13315.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Nezami Narajabad, Borghan 1. Essays on dynamic markets with heterogeneous agents. [Thesis]. University of Texas – Austin; 2007. Available from: http://hdl.handle.net/2152/13315

Not specified: Masters Thesis or Doctoral Dissertation

29. Mbongo Nkounga, Jeffrey Ted Johnattan. Building Interest Rate Curves and SABR Model Calibration.

Degree: MSc, 2015, Stellenbosch University

URL: http://hdl.handle.net/10019.1/96965

►

ENGLISH ABSTRACT : In this thesis, we first review the traditional pre-*credit* crunch approach that considers a single curve to consistently price all instruments. We…
(more)

Subjects/Keywords: Pre-credit crunch; Interest rate; SABR model; UCTD; Interest rates – Mathematical models; Finance – Mathematical models

…https://scholar.sun.ac.za
Chapter 1
Introduction
Before the 2007-2008 *credit* crunch, the… …volatility *models* such as the
SABR model. The SABR model was first introduced by Hagan et al… …the traditional pre-*credit* crunch
approach that considers a single curve to consistently… …modern post-*credit* framework. Furthermore, we review the calibration of the
SABR model and we… …overview of a number of changes that have taken place in the financial markets since the *credit*…

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Mbongo Nkounga, J. T. J. (2015). Building Interest Rate Curves and SABR Model Calibration. (Masters Thesis). Stellenbosch University. Retrieved from http://hdl.handle.net/10019.1/96965

Chicago Manual of Style (16^{th} Edition):

Mbongo Nkounga, Jeffrey Ted Johnattan. “Building Interest Rate Curves and SABR Model Calibration.” 2015. Masters Thesis, Stellenbosch University. Accessed March 22, 2018. http://hdl.handle.net/10019.1/96965.

MLA Handbook (7^{th} Edition):

Mbongo Nkounga, Jeffrey Ted Johnattan. “Building Interest Rate Curves and SABR Model Calibration.” 2015. Web. 22 Mar 2018.

Vancouver:

Mbongo Nkounga JTJ. Building Interest Rate Curves and SABR Model Calibration. [Internet] [Masters thesis]. Stellenbosch University; 2015. [cited 2018 Mar 22]. Available from: http://hdl.handle.net/10019.1/96965.

Council of Science Editors:

Mbongo Nkounga JTJ. Building Interest Rate Curves and SABR Model Calibration. [Masters Thesis]. Stellenbosch University; 2015. Available from: http://hdl.handle.net/10019.1/96965

30. Alipoe, Dovi-Akue K. Econometric analysis of the structural relationships of the U.S. cotton economy.

Degree: Agriculture, 1984, Texas Tech University

URL: http://hdl.handle.net/2346/22348

► The federal government has intervened extensively in the cotton economy of the U.S. since 1933. After five decades, governmental policies and economic and technological developments…
(more)

Subjects/Keywords: Commodity Credit Corporation; Cotton – Prices; Cotton – Economic aspects – United States; Cotton trade – United States; Cotton trade – United States – Mathematical models

…Price,
Equation 4.23.
112
7. Comparison of Alternative *Models* on the
Basis of Root Mean… …practice, the Commodity *Credit* Corporation loan rate served
as a floor below which farm level… …structural parameters of the U.S. cotton sector *models* with
alternative single equation and multi… …equation methodologies.
(2) Evaluate the relative performance of alternative *models*… …acreage control,
selected Commodity *Credit* Corporation loan rate, and
export financing…

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Alipoe, D. K. (1984). Econometric analysis of the structural relationships of the U.S. cotton economy. (Doctoral Dissertation). Texas Tech University. Retrieved from http://hdl.handle.net/2346/22348

Chicago Manual of Style (16^{th} Edition):

Alipoe, Dovi-Akue K. “Econometric analysis of the structural relationships of the U.S. cotton economy.” 1984. Doctoral Dissertation, Texas Tech University. Accessed March 22, 2018. http://hdl.handle.net/2346/22348.

MLA Handbook (7^{th} Edition):

Alipoe, Dovi-Akue K. “Econometric analysis of the structural relationships of the U.S. cotton economy.” 1984. Web. 22 Mar 2018.

Vancouver:

Alipoe DK. Econometric analysis of the structural relationships of the U.S. cotton economy. [Internet] [Doctoral dissertation]. Texas Tech University; 1984. [cited 2018 Mar 22]. Available from: http://hdl.handle.net/2346/22348.

Council of Science Editors:

Alipoe DK. Econometric analysis of the structural relationships of the U.S. cotton economy. [Doctoral Dissertation]. Texas Tech University; 1984. Available from: http://hdl.handle.net/2346/22348