//--> //--> //--> //-->
Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Research Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Retain my current filters
person:"Gouriéroux, Christian"
~person:"Brigo, Damiano"
~subject:"Credit risk"
~subject:"Risk premium"
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
Search: subject_exact:"Theorie"
Narrow search
Delete all filters
| 4 applied filters
Year of publication
From:
To:
Subject
All
Credit risk
Risk premium
Theorie
260
Theory
260
Estimation theory
50
Schätztheorie
50
Kreditrisiko
43
Derivat
33
Derivative
33
Portfolio selection
29
Portfolio-Management
29
Yield curve
25
Zinsstruktur
25
Time series analysis
24
Zeitreihenanalyse
24
CAPM
21
Econometrics
18
Ökonometrie
18
Volatility
17
Volatilität
17
Collateral
16
Kreditsicherung
16
Risikoprämie
16
Statistical theory
13
Statistische Methodenlehre
13
Credit derivative
12
Kreditderivat
12
Option pricing theory
12
Optionspreistheorie
12
Risikomaß
12
Risk measure
12
Method of moments
11
Momentenmethode
11
Risiko
11
Risikomanagement
11
Risk
11
Risk management
11
Stochastic process
10
Stochastischer Prozess
10
Estimation
9
more ...
less ...
Online availability
All
Free
18
Undetermined
5
Type of publication
All
Article
28
Book / Working Paper
28
Type of publication (narrower categories)
All
Article in journal
27
Aufsatz in Zeitschrift
27
Arbeitspapier
14
Graue Literatur
14
Non-commercial literature
14
Working Paper
14
Aufsatz im Buch
1
Book section
1
more ...
less ...
Language
All
English
54
French
2
Author
All
Gouriéroux, Christian
Brigo, Damiano
Bekaert, Geert
34
Giesecke, Kay
34
Capponi, Agostino
29
Bansal, Ravi
28
Lucas, André
27
Jarrow, Robert A.
26
Huschens, Stefan
23
Gagliardini, Patrick
21
He, Zhiguo
21
Zhou, Hao
21
Acharya, Viral V.
20
Gersbach, Hans
20
Shin, Hyun Song
20
Yaron, Amir
20
Gollier, Christian
19
Broll, Udo
18
Fabozzi, Frank J.
18
Härdle, Wolfgang
18
Lustig, Hanno
18
Monfort, Alain
18
Overbeck, Ludger
18
Shaliastovich, Ivan
18
Bollerslev, Tim
17
Chen, Hui
17
Collin-Dufresne, Pierre
17
Gürtler, Marc
17
Heider, Florian
17
Hoerova, Marie
17
Koopman, Siem Jan
17
Rösch, Daniel
17
Saunders, Anthony
17
Schlag, Christian
17
Campbell, John Y.
16
Duffie, Darrell
16
Farhi, Emmanuel
16
Goldstein, Robert S.
16
Herbertsson, Alexander
16
Lettau, Martin
16
more ...
less ...
Published in...
All
International journal of theoretical and applied finance
7
Série des documents de travail / Centre de Recherche en Économie et Statistique
7
Journal of financial econometrics : official journal of the Society for Financial Econometrics
4
Journal of banking & finance
3
Research paper series / Swiss Finance Institute
3
Swiss Finance Institute Research Paper
3
Annales d'économie et de statistique
1
Annals of economics and statistics
1
CEA_372Cass working paper series
1
Discussion paper / Universität St. Gallen, Volkswirtschaftliche Abteilung ; School of Economics and Political Science, Department of Economics
1
Documents de travail / Banque de France
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
Journal of economic dynamics & control
1
Journal of empirical finance
1
Journal of financial engineering
1
Journal of risk management in financial institutions
1
L' Actualité économique : revue trimest.
1
Mathematical finance : an international journal of mathematics, statistics and financial theory
1
Quantitative finance
1
Review of finance : journal of the European Finance Association
1
The journal of credit risk : published quarterly by Incisive Media
1
Uncertainty analysis in econometrics with applications : [This volume contains papers presented at TES 2013 - The Sixth International Conference of the Thailand Econometric Society, which is held in Chiang Mai, Thailand, during January 10th - 11th, 2013 ...]
1
Working papers / TSE : WP
1
more ...
less ...
Source
All
ECONIS (ZBW)
56
Showing
1
-
10
of
56
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
1
Disastrous defaults
Gouriéroux, Christian
;
Monfort, Alain
;
Mouabbi, Sarah
; …
-
2021
Persistent link: https://www.econbiz.de/10012614604
Saved in:
2
Risk-Neutral Valuation Under Differential Funding Costs, Defaults and Collateralization
Brigo, Damiano
-
2018
We develop a unified valuation theory that incorporates credit risk (defaults), collateralization and funding costs, by expanding the replication approach to a generality that has not yet been studied previously and reaching valuation when replication is not assumed. This unifying theoretical...
Persistent link: https://www.econbiz.de/10012926351
Saved in:
3
Multi Currency Credit Default Swaps : Quanto Effects and FX Devaluation Jumps
Brigo, Damiano
-
2018
Credit Default Swaps (CDS) on a reference entity may be traded in multiple currencies, in that protection upon default may be offered either in the domestic currency where the entity resides, or in a more liquid and global foreign currency. In this situation currency fluctuations clearly...
Persistent link: https://www.econbiz.de/10012936666
Saved in:
4
Disastrous defaults
Gouriéroux, Christian
;
Monfort, Alain
;
Mouabbi, Sarah
; …
- In:
Review of finance : journal of the European Finance …
25
(
2021
)
6
,
pp. 1727-1772
Persistent link: https://www.econbiz.de/10012694401
Saved in:
5
Nonlinear Valuation Under Collateral, Credit Risk and Funding Costs : A Numerical Case Study Extending Black-Scholes
Brigo, Damiano
-
2017
We develop an arbitrage-free framework for consistent valuation of derivative trades with collateralization, counterparty credit gap risk, and funding costs, following the approach first proposed by Pallavicini and co-authors in 2011. Based on the risk-neutral pricing principle, we derive a...
Persistent link: https://www.econbiz.de/10012973284
Saved in:
6
Impact of Multiple Curve Dynamics in Credit Valuation Adjustments under Collateralization
Bormetti, Giacomo
-
2015
We present a detailed analysis of interest rate derivatives valuation under credit risk and collateral modeling. We show how the credit and collateral extended valuation framework in Pallavicini et al (2011), and the related collateralized valuation measure, can be helpful in defining the key...
Persistent link: https://www.econbiz.de/10013018414
Saved in:
7
Invariance, Existence and Uniqueness of Solutions of Nonlinear Valuation PDEs and FBSDEs Inclusive of Credit Risk, Collateral and Funding Costs
Brigo, Damiano
-
2015
We study conditions for existence, uniqueness and invariance of the comprehensive nonlinear valuation equations first introduced in Pallavicini et al (2011). These equations take the form of semi-linear PDEs and Forward-Backward Stochastic Differential Equations (FBSDEs). After summarizing the...
Persistent link: https://www.econbiz.de/10013021843
Saved in:
8
Multi-currency credit default swaps
Brigo, Damiano
;
Pede, Nicola
;
Petrelli, Andrea
- In:
International journal of theoretical and applied finance
22
(
2019
)
4
,
pp. 1-35
Persistent link: https://www.econbiz.de/10012030890
Saved in:
9
Impact of multiple curve dynamics in credit valuation adjustments under collateralization
Bormetti, Giacomo
;
Brigo, Damiano
;
Francischello, Marco
; …
- In:
Quantitative finance
18
(
2018
)
1
,
pp. 31-44
Persistent link: https://www.econbiz.de/10011905822
Saved in:
10
Regime switching and bond pricing
Gouriéroux, Christian
;
Monfort, Alain
;
Pegoraro, Fulvio
; …
-
2013
Persistent link: https://www.econbiz.de/10010200003
Saved in:
1
2
3
4
5
6
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->