Arbitrage Pricing of Convertible Securities with Credit Risk.
Tomasz R. BieleckiStéphane CrépeyMonique JeanblancMarek RutkowskiPublished in: CDC (2006)
Keyphrases
- convertible bonds
- credit risk
- portfolio management
- financial data
- fraud detection
- financial crisis
- financial markets
- stock price
- credit risk evaluation
- stock market
- exchange rate
- evaluation method
- stock exchange
- credit card
- commercial banks
- credit scoring
- risk analysis
- listed companies
- pricing model
- outlier detection
- risk management
- black scholes
- data mining techniques
- historical data
- non stationary
- cost sensitive
- support vector machine svm
- pattern recognition