Jessica Cariboni

Joint Research Center of the European Commission

Via E. Fermi 2749

1049

Belgium

SCHOLARLY PAPERS

3

DOWNLOADS

790

SSRN CITATIONS

3

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

The Relationship between Risk-Neutral and Actual Default Probabilities: The Credit Risk Premium

Number of pages: 19 Posted: 08 Jul 2015 Last Revised: 10 Feb 2017
Joint Research Center of the European Commission, Joint Research Center of the European Commission, KU Leuven - Department of Mathematics and University of Antwerp - Department of Accounting & Finance
Downloads 383 (99,446)
Citation 2

Abstract:

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Risk-Neutral, Probability of Default (PD), Credit Risk Premium, Real Economic Value (REV), Coverage Ratio

2.

Global Sensitivity Analysis for Latent Factor Credit Risk Models

Number of pages: 29 Posted: 03 Jan 2005
Dirk G. Baur, Jessica Cariboni and Francesca Campolongo
University of Western Australia - Business School, Joint Research Center of the European Commission and Europoean Commission - Joint Reserach Centre
Downloads 322 (120,603)
Citation 1

Abstract:

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Credit risk model, latent factor model, copula, global sensitivity analysis

3.

European Banks' Implied Recovery Rates

Number of pages: 30 Posted: 02 Feb 2017 Last Revised: 06 Mar 2017
Joint Research Center of the European Commission, Joint Research Center of the European Commission, KU Leuven - Department of Mathematics and University of Antwerp - Department of Accounting & Finance
Downloads 85 (369,806)

Abstract:

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Implied recovery rate, Absolute priority rule violation, Debt pricing, Recovery risk, Credit derivatives