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person:"Gouriéroux, Christian"
~isPartOf:"The journal of credit risk : published quarterly by Incisive Media"
~person:"Andersson, Andreas"
~person:"Ehrhardt, Matthias"
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Credit risk
3
Derivat
3
Derivative
3
Kreditrisiko
3
Credit derivative
2
Kreditderivat
2
Theorie
2
Theory
2
Archimedean copulas
1
Financial analysis
1
Financial services
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Finanzanalyse
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Finanzdienstleistung
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Option pricing theory
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Portfolio selection
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Statistische Verteilung
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basket credit default swaps
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copulas
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counterparty credit risk
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counterparty valuation adjustment
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default
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default times
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elliptical copulas
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sensitivity analysis
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value of firm
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Gouriéroux, Christian
Andersson, Andreas
Ehrhardt, Matthias
Hull, John
2
Kjaer, Mats
2
Pykhtin, Michael
2
Rosen, Dan
2
Bansal, Matulya
1
Barone, Gaia
1
Ben-Abdallah, Ramzi
1
Benzschawel, Terry
1
Bernis, Guillaume
1
Bielecki, Tomasz R.
1
Breton, Michèle
1
Burgard, Christoph
1
C̆erný, Jakub
1
DaGraca, Julio
1
Fenger, Christian
1
Fernández Muñoz de Morales, Alberto
1
Gatarek, Dariusz
1
Gunnesson, C. Johan
1
Harris, Geoffrey R.
1
Herbertsson, Alexander
1
Jabłecki, Juliusz
1
Kamra, Abhinav
1
Koziol, Christian
1
Kratochwill, Michael
1
Mahfoudhi, Ridha
1
Marzouk, Oussama
1
Mashele, Phillip
1
Mi, Yanhui
1
Monfort, Alain
1
Parnes, Dror
1
Rathgeber, Andreas W.
1
Saunders, David M.
1
Schön, Thomas
1
Turnbull, Stuart M.
1
Umeorah, Nneka
1
Vanini, Paolo
1
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The journal of credit risk : published quarterly by Incisive Media
Série des documents de travail / Centre de Recherche en Économie et Statistique
7
Journal of econometrics
4
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Research paper series / Swiss Finance Institute
2
Swiss Finance Institute Research Paper
2
Annals of economics and statistics
1
CEA_372Cass working paper series
1
Centre d'Etudes Prospectives d'Economie Mathématique Appliquées à la Planification : CEPREMAP
1
Discussion paper / Universität St. Gallen, Volkswirtschaftliche Abteilung ; School of Economics and Political Science, Department of Economics
1
Econometric theory
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
International journal of theoretical and applied finance
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Mathematical finance : an international journal of mathematics, statistics and financial economics
1
Review of finance : journal of the European Finance Association
1
Série des documents de travail
1
Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
1
The journal of computational finance
1
Working papers / TSE : WP
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ECONIS (ZBW)
3
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1
Elliptical and archimedean copula models : an application to the price estimation of portfolio credit derivatives
Umeorah, Nneka
;
Mashele, Phillip
;
Ehrhardt, Matthias
- In:
The journal of credit risk : published quarterly by …
17
(
2021
)
1
,
pp. 1-29
Persistent link: https://www.econbiz.de/10012519958
Saved in:
2
The doble default value-of-the-firm model
Gouriéroux, Christian
;
Monfort, Alain
- In:
The journal of credit risk : published quarterly by …
12
(
2016
)
2
,
pp. 47-76
Persistent link: https://www.econbiz.de/10011597891
Saved in:
3
Credit-migration risk modeling
Andersson, Andreas
;
Vanini, Paolo
- In:
The journal of credit risk : published quarterly by …
6
(
2010/11
)
1
,
pp. 3-30
Persistent link: https://www.econbiz.de/10003965004
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