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Integrating Market Risk and Credit Risk: A Dynamic Asset Allocation Perspective · Study

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PreprintIntegrating Market Risk and Credit Risk: A Dynamic Asset Allocation Perspective

Yuanfeng Hou2002

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Preprintgreen2002

Integrating Market Risk and Credit Risk: A Dynamic Asset Allocation Perspective

20 citations·0/0 files stored·SSRN Electronic Journal

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Stochastic processes and financial applications Credit Risk and Financial Regulations Risk and Portfolio Optimization

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References

1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1985A Theory of the Term Structure of Interest Rates 1973An Intertemporal Capital Asset Pricing Model 1977An equilibrium characterization of the term structure 1971Optimum consumption and portfolio rules in a continuous-time model 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case 2005Stochastic Integration and Differential Equations

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2008Asset allocation with contagion and explicit bankruptcy procedures

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Details

Year2002

Typepreprint

Published2002-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations20

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.302648

openalex_workW1572725641

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