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On measuring credit risks of derivative instruments

. Journal of Banking & Finance, 20 (5): 805--833 (June 1996)

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Other publications of authors with the same name

Credit derivatives in banking: Useful tools for managing risk?, and . Journal of Monetary Economics, 48 (1): 25--54 (August 2001)Stock returns and volatility a firm-level analysis. Journal of Financial Economics, 37 (3): 399--420 (March 1995)On measuring credit risks of derivative instruments. Journal of Banking & Finance, 20 (5): 805--833 (June 1996)Term structure estimation without using latent factors. Journal of Financial Economics, 79 (3): 507--536 (March 2006)