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type_genre:"Multi-volume publication"
~person:"Gex, Mathieu"
~person:"Pallavicini, Andrea"
~subject:"Kreditversicherung"
~subject:"Theory"
~type_genre:"Article in journal"
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Search: subject_exact:"Wertpapiertermingeschäft"
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Kreditversicherung
Theory
Derivat
14
Derivative
14
Credit risk
8
Kreditrisiko
8
Theorie
7
Credit derivative
6
Kreditderivat
6
Collateral
5
Kreditsicherung
5
Credit insurance
3
Multivariate Verteilung
3
Multivariate distribution
3
Swap
3
Volatility
3
Volatilität
3
credit valuation adjustment
3
default correlation
3
CVA
2
Corporate bond
2
Counterparty risk
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Financial crisis
2
Financial services
2
Finanzdienstleistung
2
Finanzkrise
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Insolvency
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Insolvenz
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Interest rate derivative
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Option pricing theory
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Optionspreistheorie
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Regulation
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Regulierung
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Risikoprämie
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Risk
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Risk management
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Multi-volume publication
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10
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2
Graue Literatur
2
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2
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English
9
French
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Gex, Mathieu
Pallavicini, Andrea
Lien, Da-hsiang Donald
26
Kit, Pong Wong
18
Jarrow, Robert A.
15
Brigo, Damiano
11
Benth, Fred Espen
10
Boyle, Phelim P.
9
Broll, Udo
9
Carr, Peter
9
Hull, John
9
Lioui, Abraham
8
Poncet, Patrice
8
Figlewski, Stephen
7
Gouriéroux, Christian
7
Leung, Tim
7
White, Alan
7
Capponi, Agostino
6
Pirrong, Craig
6
Ritchken, Peter H.
6
Yu, Min-Teh
6
Brooks, Robert
5
Jamshidian, Farshid
5
Jeanblanc, Monique
5
Longstaff, Francis A.
5
Shiller, Robert J.
5
Welzel, Peter
5
Wolf, Avner S.
5
Artus, Patrick
4
Barone-Adesi, Giovanni
4
Bartram, Söhnke M.
4
Brorsen, B. Wade
4
Castelino, Mark G.
4
Coudert, Virginie
4
Crouhy, Michel
4
Crépey, Stéphane
4
Detemple, Jérôme B.
4
Duffie, Darrell
4
Lee, Hsiang-Tai
4
Levy, Haim
4
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International journal of theoretical and applied finance
2
International economics : a journal published by CEPII (Center for research and expertise on the world economy)
1
Journal of financial engineering
1
Journal of international financial markets, institutions & money
1
Journal of risk management in financial institutions
1
Mathematical finance : an international journal of mathematics, statistics and financial theory
1
Quantitative finance
1
Review of international economics
1
Revue d'économie financière : revue trimestrielle de l'Association Europe finances régulations
1
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ECONIS (ZBW)
10
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1
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:
2
A note on the self-financing condition for funding, collateral and discounting
Brigo, Damiano
;
Buescu, Cristin
;
Pallavicini, Andrea
; …
- In:
International journal of theoretical and applied finance
18
(
2015
)
2
,
pp. 1-10
Persistent link: https://www.econbiz.de/10011403214
Saved in:
3
Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps
Brigo, Damiano
;
Capponi, Agostino
;
Pallavicini, Andrea
- In:
Mathematical finance : an international journal of …
24
(
2014
)
1
,
pp. 125-146
Persistent link: https://www.econbiz.de/10010256178
Saved in:
4
Nonlinear consistent valuation of CCP cleared or CSA bilateral trades with initial margins under credit, funding and wrong-way risks
Brigo, Damiano
;
Pallavicini, Andrea
- In:
Journal of financial engineering
1
(
2014
)
1
,
pp. 1-60
Persistent link: https://www.econbiz.de/10010508128
Saved in:
5
Pricingcounterparty risk including collateralization, netting rules, re-hypothecation and wrong-way risk
Brigo, Damiano
;
Capponi, Agostino
;
Pallavicini, Andrea
; …
- In:
International journal of theoretical and applied finance
16
(
2013
)
2
,
pp. 1-16
Persistent link: https://www.econbiz.de/10009748723
Saved in:
6
The interactions between the credit default swap and the bond markets in financial turmoil
Coudert, Virginie
;
Gex, Mathieu
- In:
Review of international economics
21
(
2013
)
3
,
pp. 492-505
Persistent link: https://www.econbiz.de/10010211846
Saved in:
7
Credit models and the crisis : an overview
Brigo, Damiano
;
Pallavicini, Andrea
;
Torresetti, Roberto
- In:
Journal of risk management in financial institutions
4
(
2010/11
)
3
,
pp. 243-253
Persistent link: https://www.econbiz.de/10009271192
Saved in:
8
Contagion inside the credit default swaps market : the case of the GM and Ford crisis in 2005
Coudert, Virginie
;
Gex, Mathieu
- In:
Journal of international financial markets, …
20
(
2010
)
2
,
pp. 109-134
Persistent link: https://www.econbiz.de/10008695510
Saved in:
9
The credit default swap market and the settlement of large defaults
Coudert, Virginie
;
Gex, Mathieu
- In:
International economics : a journal published by CEPII …
123
(
2010
)
3
,
pp. 91-120
Persistent link: https://www.econbiz.de/10008902602
Saved in:
10
Le règlement des défauts sur le marché des credit default swaps : le cas de Lehman Brothers
Coudert, Virginie
;
Gex, Mathieu
- In:
Revue d'économie financière : revue trimestrielle de …
97
(
2010
),
pp. 15-34
Persistent link: https://www.econbiz.de/10003958120
Saved in:
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