On measuring credit risks of derivative instruments
Year of publication: |
1996
|
---|---|
Authors: | Duffee, Greg |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 20.1996, 5, p. 805-833
|
Subject: | Derivat | Derivative | Kreditrisiko | Credit risk | Messung | Measurement | Theorie | Theory |
-
Jortzik, Stephan, (2006)
-
Pricing counterparty risk at the trade level and CVA allocations
Pykhtin, Michael, (2010)
-
Pricing counterparty risk at the trade level and credit valuation adjustment allocations
Pykhtin, Michael, (2010)
- More ...
-
Duffee, Greg, (1996)
-
Credit derivatives in banking : useful tools for managing risk?
Duffee, Greg, (1997)
-
Moral hazard and adverse selection in the originate-to-distribute model of bank credit: comment
Duffee, Greg, (2009)
- More ...