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subject:"Credit risk"
subject:"Derivat <Wertpapier>"
~person:"Glasserman, Paul"
~person:"Krahnen, Jan Pieter"
~person:"Rösch, Daniel"
~person:"Summer, Martin"
~type:"article"
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Credit risk
Derivat <Wertpapier>
Risikomanagement
27
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26
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15
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9
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9
Basel Accord
8
Basler Akkord
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7
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Glasserman, Paul
Krahnen, Jan Pieter
Rösch, Daniel
Summer, Martin
Jacobs, Michael <Jr.>
8
Arora, Anju
7
Broll, Udo
6
Schuermann, Til
6
Andreeva, Galina
5
Crook, Jonathan N.
5
Engelmann, Bernd
5
Prorokowski, Lukasz
5
Welzel, Peter
5
Cerezetti, Fernando
4
Fabozzi, Frank J.
4
Gatzert, Nadine
4
Gleißner, Werner
4
Grundke, Peter
4
Hölscher, Reinhold
4
Kupiec, Paul H.
4
Lucas, André
4
Overbeck, Ludger
4
Raviv, Alon
4
Schulte-Mattler, Hermann
4
Turnbull, Stuart M.
4
Van Vuuren, Gary
4
Allen, Franklin
3
Breton, Michèle
3
Chen, Ren-Raw
3
Chen, Tsung-Kang
3
Chen, Wei
3
Cipra, Tomáš
3
Fischer, Matthias
3
Frei, Christoph
3
Gatfaoui, Hayette
3
Hamerle, Alfred
3
Hendrych, Radek
3
Hurlin, Christophe
3
Kaltofen, Daniel
3
Kanno, Masayasu
3
Karrenbauer, Ulrike
3
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European journal of operational research : EJOR
2
Journal of banking & finance
2
Computational Management Science : CMS
1
Die Bank
1
Economic theory : official journal of the Society for the Advancement of Economic Theory
1
International journal of forecasting
1
International review of finance
1
Mathematical finance : an international journal of mathematics, statistics and financial economics
1
Quantitative finance
1
Review of derivatives research
1
Schmalenbachs Zeitschrift für betriebswirtschaftliche Forschung : ZfbF
1
The risks of financial institutions : [...papers and comments presented at a conference held in Woodstock, Vermont, 22-23 October 2004]
1
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ECONIS (ZBW)
14
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1
Computing valuation adjustments for counterparty credit risk using a modified supervisory approach
Büchel, Patrick
;
Kratochwil, Michael
;
Rösch, Daniel
- In:
Review of derivatives research
23
(
2020
)
3
,
pp. 273-322
Persistent link: https://www.econbiz.de/10012303233
Saved in:
2
Estimating a covariance matrix for market risk management and the case of credit default swaps
Neuberg, Richard
;
Glasserman, Paul
- In:
Quantitative finance
19
(
2019
)
1
,
pp. 77-92
Persistent link: https://www.econbiz.de/10012194621
Saved in:
3
Systematic effects among loss given defaults and their Implications on downturn estimation
Betz, Jennifer
;
Kellner, Ralf
;
Rösch, Daniel
- In:
European journal of operational research : EJOR
271
(
2018
)
3
,
pp. 1113-1144
Persistent link: https://www.econbiz.de/10011903289
Saved in:
4
Bounding wrong-way risk in CVA calculation
Glasserman, Paul
;
Yang, Linan
- In:
Mathematical finance : an international journal of …
28
(
2018
)
1
,
pp. 268-305
Persistent link: https://www.econbiz.de/10011969151
Saved in:
5
Credit risk in general equilibrium
Eichberger, Jürgen
;
Rheinberger, Klaus
;
Summer, Martin
- In:
Economic theory : official journal of the Society for …
57
(
2014
)
2
,
pp. 407-435
Persistent link: https://www.econbiz.de/10010436189
Saved in:
6
Cure events in default prediction
Wolter, Marcus
;
Rösch, Daniel
- In:
European journal of operational research : EJOR
238
(
2014
)
3
,
pp. 846-857
Persistent link: https://www.econbiz.de/10010401594
Saved in:
7
A systematic approach to multi-period stress testing of portfolio credit risk
Breuer, Thomas
;
Jandačka, Martin
;
Mencía, Javier
; …
- In:
Journal of banking & finance
36
(
2012
)
2
,
pp. 332-340
Persistent link: https://www.econbiz.de/10009511320
Saved in:
8
Does adding up of economic capital for market- and credit risk amount to conservative risk assessment?
Breuer, Thomas
;
Jandačka, Martin
;
Rheinberger, Klaus
; …
- In:
Journal of banking & finance
34
(
2010
)
4
,
pp. 703-712
Persistent link: https://www.econbiz.de/10003966039
Saved in:
9
Downturn credit portofolio risk regulatory capital and prudential incentives
Rösch, Daniel
;
Scheule, Harald
- In:
International review of finance
10
(
2010
)
2
,
pp. 185-207
Persistent link: https://www.econbiz.de/10003991361
Saved in:
10
Credit portfolio risk and asset price cycles
Rheinberger, Klaus
;
Summer, Martin
- In:
Computational Management Science : CMS
5
(
2008
)
4
,
pp. 337-354
Persistent link: https://www.econbiz.de/10003758297
Saved in:
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