Credit Risk Valuation: Methods, Models, And Applications

By Manuel M. Ammann. 2002

68 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/f6039c4beee321cbec6884ab0eb4a0aa23fbf7ac

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Citations in the corpus

• Banks' risk assessment of Swedish SMEs (2008, background): “The accuracy of credit decisions has a significant impact on the overall profitability of a bank (Ruth 1987; Ammann 2001).”
• Pricing Black–Scholes options with correlated interest rate risk and credit risk: an extension (2005, background): “When the diffusion terms of Equations (1) and (3) are constants and the risk-free interest rate follows Vasicek (1977), then the pricing formulas for the vulnerable call and put can be reduced to those of KI (1999).”