Azusa Takeyama

University of Essex

Wivenhoe Park

Colchester, CO4 3SQ

United Kingdom

SCHOLARLY PAPERS

2

DOWNLOADS

420

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (2)

1.

A Framework for Extracting the Probability of Default from Listed Stock Option Prices

Number of pages: 38 Posted: 25 Nov 2011
Azusa Takeyama, Nick Constantinou and Dmitri Vinogradov
University of Essex, University of Essex - Essex Business School and University of Glasgow - Adam Smith Business School
Downloads 230 (137,058)

Abstract:

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probability of default (PD), option pricing under credit risk, perturbation method

2.

Do CDS Spreads Reflect Credit Risks? Evidence from UK Bank Bailouts

Number of pages: 55 Posted: 30 Oct 2010 Last Revised: 25 Nov 2011
Azusa Takeyama, Nick Constantinou and Dmitri Vinogradov
University of Essex, University of Essex - Essex Business School and University of Glasgow - Adam Smith Business School
Downloads 190 (164,066)
Citation 1

Abstract:

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Credit Default Swap (CDS), Loss Given Default (LGD), Volatility Surface