Johan de Kock

Sanlam - Client Solutions and Research

Willie van Schoor-Weg 55

Bellville, 7530

South Africa

SCHOLARLY PAPERS

2

DOWNLOADS

261

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (2)

1.

Cdos in Chains

Number of pages: 9 Posted: 09 Feb 2007
Johan de Kock, Holger Kraft and Mogens Steffensen
Sanlam - Client Solutions and Research, Goethe University Frankfurt and University of Copenhagen
Downloads 178 (202,501)
Citation 2

Abstract:

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Markov chains, credit risk, credit derivatives, contagion

2.

Generalized Pareto Processes and Liquidity

Number of pages: 26 Posted: 24 Feb 2017
Johannes Kepler University Linz, Sanlam - Client Solutions and Research, University of Oldenburg - School of Mathematics and Science and University of Trier
Downloads 83 (354,488)

Abstract:

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ARGP process, GPD, liquidity risk, data features