Tanja Veza

WU Vienna (Vienna University of Economics and Business)

Institute for Banking and Finance

Heiligenstaedter Strasse 46-48

Vienna, 1190

Austria

SCHOLARLY PAPERS

3

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1,302

SSRN CITATIONS
Rank 29,579

SSRN RANKINGS

Top 29,579

in Total Papers Citations

8

CROSSREF CITATIONS

18

Scholarly Papers (3)

1.

The Delivery Option in Credit Default Swaps

EFA 2007 Ljubljana Meetings Paper
Number of pages: 33 Posted: 22 May 2006 Last Revised: 26 Oct 2007
Bank Austria Creditanstalt - Department of Operational and Group Risk Control, WU Vienna (Vienna University of Economics and Business) and WU (Vienna University of Economics and Business)
Downloads 606 (47,890)
Citation 7

Abstract:

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credit risk, default, corporate bond, credit default swap, reduced-form model, recovery rate, delivery option

2.

The Economic Role of Jumps and Recovery Rates in the Market for Corporate Default Risk

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 60 Posted: 19 Mar 2008 Last Revised: 21 May 2009
University of Lugano - Institute of Finance, Institute for Advanced Studies (IHS) and WU Vienna (Vienna University of Economics and Business)
Downloads 562 (52,709)
Citation 1

Abstract:

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credit default swaps, credit risk, loss given default, stochastic intensity, jump-diffusion, Markov chain Monte Carlo estimation

3.

Flexing the Default Barrier

Number of pages: 33 Posted: 16 Feb 2009
University of Regensburg - Department of Finance, University of Lugano - Institute of Finance and WU Vienna (Vienna University of Economics and Business)
Downloads 134 (233,655)
Citation 4

Abstract:

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credit default swap, structural model, default boundary, the Green function, calibration