Munich Personal RePEc Archive

Browse by Authors

Group by: Date | Item ID
Number of items: 6.

August 2008

Li, Hui (2008): CVA calculation for CDS on super senior ABS CDO.

15 June 2009

Li, Hui (2009): On Models of Stochastic Recovery for Base Correlation.

17 October 2009

Li, Hui (2009): Extension of Spot Recovery Model for Gaussian Copula.

31 December 2009

Li, Hui (2009): Double Impact on CVA for CDS: Wrong-Way Risk with Stochastic Recovery.

13 January 2010

Li, Hui (2010): Downturn LGD: A Spot Recovery Approach.

26 February 2016

Li, Hui (2016): A true measure of dependence.

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