Static hedging under maturity mismatch. - Philipp A. Mayer; Natalie Packham; Wolfgang M. Schmidt (Finance Stochastics, 2015)

Asymptotic behaviour of multivariate default probabilities and default correlations under stress. - Natalie Packham; Michael Kalkbrener; Ludger Overbeck (J. Appl. Probab., 2016)