Skip to content
  • About
    • HASTAC Scholars
    • Conferences
    • Staff
    • History of HASTAC
    • Leadership
    • Core Values
  • Go To…
    • Members
    • Groups
    • Sites
    • CORE Repository
  • Help & Support
  • Organizations
    • HC
    • ARLIS/NA
    • AUPresses
    • MLA
    • MSU
    • SAH
Register Log In
HASTAC Commons

CORE Search Results Start Search Over

  • All Deposits 0
  • HASTAC Deposits
  • Pricing Financial Derivatives Subject to Multilateral Credit Risk and Collateralization

    Author(s):
    Tim Xiao (see profile)
    Date:
    2020
    Group(s):
    Business Management
    Subject(s):
    Economics
    Item Type:
    Article
    Tag(s):
    asset pricing, credit risk modeling, colateral, risk management, CDS
    Search term matches:
    Tag
    ... asset pricing ...
    Full Text
    ... . We show that default dependency has a significant impact on asset pricing. In fact, correlated default ...

  • The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling

    Author(s):
    Tim Xiao (see profile)
    Date:
    2020
    Group(s):
    Business Management
    Subject(s):
    Economics, Qualitative research--Methodology
    Item Type:
    Article
    Tag(s):
    asset pricing, credit risk modeling, collateralization, Quantitative methods
    Search term matches:
    Title
    ... The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling ...
    Tag
    ... asset pricing ...
    Full Text
    ... The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk ...

  • An Economic Examination of Collateralization in Different Financial Markets

    Author(s):
    Tim Xiao (see profile)
    Date:
    2020
    Group(s):
    Business Management
    Subject(s):
    Economics
    Item Type:
    Article
    Tag(s):
    unilateral/bilateral collateralization, partial/full/over collateralization, asset pricing, plumbing of the financial system, swap premium spread
    Search term matches:
    Tag
    ... asset pricing ...
    Full Text
    ... to bankruptcy laws. As such, the model can back out differences in asset prices due to collateralized ...

  • An Efficient Lattice Algorithm For The LIBOR Market Model

    Author(s):
    Tim Xiao (see profile)
    Date:
    2020
    Group(s):
    Business Management
    Subject(s):
    Values--Philosophy, Economics
    Item Type:
    Article
    Tag(s):
    LIBOR Market Model, lattice model, asset pricing, derivatives valuation, risk management, Value theory
    Search term matches:
    Tag
    ... asset pricing ...

  • An Accurate Solution for Credit Valuation Adjustment (CVA) and Wrong Way Risk

    Author(s):
    Tim Xiao (see profile)
    Date:
    2015
    Group(s):
    Business Management, Scholarly Communication
    Subject(s):
    Economics, Knowledge management, Commercial statistics
    Item Type:
    Article
    Tag(s):
    asset pricing, credit value adjustment, wrong way risk, credit risk modeling, default time approach, Business data
    Search term matches:
    Tag
    ... asset pricing ...
    Full Text
    ... , 50, 23- 33. Xiao, T., 2013a, The impact of default dependency and collateralization on asset ...

  • A New Model for Pricing Collateralized Financial Derivatives

    Author(s):
    Tim Xiao (see profile)
    Date:
    2017
    Group(s):
    Business Management, Scholarly Communication
    Item Type:
    Article
    Tag(s):
    asset pricing, collateralization, CVA, interaction between market and credit risk, plumbing of financial system, swap premium spread, VaR
    Search term matches:
    Tag
    ... asset pricing ...
    Full Text
    ... and credit risk. Key words: collateralization, asset pricing, plumbing of financial system, swap ...

Viewing item 1 to 6 (of 6 items)
HUMANITIES COMMONS. BASED ON COMMONS IN A BOX.
TERMS OF SERVICE • PRIVACY POLICY • GUIDELINES FOR PARTICIPATION
This site is part of the HASTAC network on Humanities Commons. Explore other sites on this network or register to build your own.
Terms of ServicePrivacy PolicyGuidelines for Participation

@

Not recently active