10 Harewood Avenue
London, NW1 6AA
BNP Paribas, London
in Total Papers Downloads
in Total Papers Citations
Credit derivatives, correlation, structural model, CDO, valuation
risk-neutral default probabilities, historical default probabilities, credit default swaps
Credit Default Swaps, Liquidity spread, Liquidity Premium, Credit Liquidity correlation, Liquidity pricing, Intensity models, Reduced Form Models, Capital Asset Pricing Model, Credit Crisis, Liquidity Crisis
mean reversion, jump diffusion, stochastic process, drift, Black-Karasinski
Banking Regulation; Risk Modeling; Market Risk; Fundamental Review of the Trading Book; Default Risk Charge
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