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type_genre:"Aufsatz im Buch"
~person:"Herbertsson, Alexander"
~type_genre:"Case study"
~type_genre:"Graue Literatur"
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Search: subject_exact:"Kreditrisiko"
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Credit risk
14
Kreditrisiko
14
Portfolio selection
12
Portfolio-Management
12
Theorie
11
Theory
11
Credit derivative
7
Kreditderivat
7
Markov chain
6
Markov-Kette
6
Credit insurance
5
Kreditversicherung
5
intensity-based models
4
numerical methods
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Risikomanagement
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Risikomaß
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3
Stochastic process
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3
Fourier-transform methods
2
Option pricing theory
2
Optionspreistheorie
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Value-at-Risk
2
conditional independent dependence modelling
2
credit copula models
2
credit portfolio risk
2
equity portfolio risk
2
factor models
2
saddlepoint-methods
2
Asset-Backed Securities
1
Asset-backed securities
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English
14
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Herbertsson, Alexander
Ongena, Steven
65
Peydró, José-Luis
41
Lucas, André
39
Acharya, Viral V.
32
Schuermann, Til
25
Koopman, Siem Jan
24
Caporale, Guglielmo Maria
21
Gambacorta, Leonardo
21
Huschens, Stefan
21
Schwaab, Bernd
21
Suárez, Javier
19
Jiménez, Gabriel
18
Krahnen, Jan Pieter
18
Yoshino, Naoyuki
18
Allen, David E.
17
Repullo, Rafael
17
Giesecke, Kay
16
Pelizzon, Loriana
16
Altman, Edward I.
15
Degryse, Hans
15
Monfort, Alain
15
Taghizadeh-Hesary, Farhad
15
Agarwal, Sumit
14
Düllmann, Klaus
14
Jokivuolle, Esa
14
Tarashev, Nikola A.
14
Gersbach, Hans
13
Gouriéroux, Christian
13
Gündüz, Yalın
13
Pagano, Marco
13
Roszbach, Kasper
13
Saurina, Jesús
13
Brown, Martin
12
Duffie, Darrell
12
Frame, W. Scott
12
Gilchrist, Simon
12
Härdle, Wolfgang
12
Nakamura, Leonard Isamu
12
Pesaran, M. Hashem
12
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Working papers in economics
9
Recent advances in financial engineering 2012 : proceedings of the International Workshop on Finance 2012, the University of Tokyo, Japan, 30-31 October 2012
2
The Oxford handbook of credit derivatives
2
The credit derivatives handbook : global perspectives, innovations, and market drivers
1
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ECONIS (ZBW)
14
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1
Risk management of stock portfolios with jumps at exogenous default events
Herbertsson, Alexander
-
2023
Persistent link: https://www.econbiz.de/10014431441
Saved in:
2
Saddlepoint approximations for credit portfolio distributions with applications in equity risk management
Herbertsson, Alexander
-
2023
Persistent link: https://www.econbiz.de/10014518798
Saved in:
3
Saddlepoint approximations for credit portfolios with stochastic recoveries
Herbertsson, Alexander
-
2022
Persistent link: https://www.econbiz.de/10013369349
Saved in:
4
CDS index options in Markov chain models
Herbertsson, Alexander
-
2019
Persistent link: https://www.econbiz.de/10011965838
Saved in:
5
A Markov Copula model of portfolio credit risk with stochastic intensities and Random recoveries
Bielecki, Tomasz R.
;
Cousin, Areski
;
Crépy, Stéphane
; …
-
2012
Persistent link: https://www.econbiz.de/10009630172
Saved in:
6
Pricing basket default swaps in a tractable shot-noise model
Herbertsson, Alexander
;
Jang, Jiwook
;
Schmidt, Thorsten
-
2009
Persistent link: https://www.econbiz.de/10003828944
Saved in:
7
A bottom-up dynamic model of portfolio credit risk : part II ; common-shock interpretation, calibration and hedging issues
Bielecki, Tomasz R.
;
Cousin, Areski
;
Crépey, Stéphane
; …
- In:
Recent advances in financial engineering 2012 : …
,
(pp. 51-73)
.
2014
Persistent link: https://www.econbiz.de/10010359906
Saved in:
8
A bottom-up dynamic model of portfolio credit risk : part I ; Markov copula perspective
Bielecki, Tomasz R.
;
Cousin, Areski
;
Crépey, Stéphane
; …
- In:
Recent advances in financial engineering 2012 : …
,
(pp. 25-49)
.
2014
Persistent link: https://www.econbiz.de/10010359909
Saved in:
9
Pricing k-th-to-default swaps ander default contagion : the matrix-analytic approach
Herbertsson, Alexander
(
contributor
); …
-
2007
Persistent link: https://www.econbiz.de/10003571927
Saved in:
10
Pricing synthetic CDO tranches in a model with default contagion using the matrix-analytic approach
Herbertsson, Alexander
(
contributor
)
-
2007
Persistent link: https://www.econbiz.de/10003571937
Saved in:
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