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~accessRights:"restricted"
~person:"Rösch, Daniel"
~person:"Wang, Xingchun"
~person:"Welzel, Peter"
~subject:"Basler Eigenkapitalvereinbarung <2001>"
~subject:"Kreditrisiko"
~subject:"Theory"
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Basler Eigenkapitalvereinbarung <2001>
Kreditrisiko
Theory
Credit risk
42
Derivat
18
Derivative
18
Option pricing theory
18
Optionspreistheorie
18
Option trading
14
Optionsgeschäft
14
Risikomanagement
9
Risk management
9
Basel Accord
8
Basler Akkord
8
Theorie
8
Default risk
7
Risiko
7
Risikoprämie
7
Risk
7
Risk premium
7
Stochastic process
7
Stochastischer Prozess
7
Volatility
7
Volatilität
7
Bank lending
6
Insolvency
6
Insolvenz
6
Kreditgeschäft
6
ARCH model
5
ARCH-Modell
5
Credit rating
5
Estimation
5
Kreditwürdigkeit
5
Portfolio selection
5
Portfolio-Management
5
Schätzung
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Vulnerable options
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Forecasting model
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Hedging
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English
37
German
5
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Rösch, Daniel
Wang, Xingchun
Welzel, Peter
Ongena, Steven
28
Acharya, Viral V.
22
Chi, Guotai
15
Agarwal, Sumit
14
Peydró, José-Luis
14
Hasan, Iftekhar
13
Scheule, Harald
13
Capponi, Agostino
11
Shahzad, Syed Jawad Hussain
11
Wu, Eliza
11
Degryse, Hans
10
Gambacorta, Leonardo
10
Lin, Chih-Yung
10
Mayordomo, Sergio
10
Altman, Edward I.
9
Andreeva, Galina
9
Crook, Jonathan N.
9
Fabozzi, Frank J.
9
Kanno, Masayasu
9
Norden, Lars
9
Anginer, Deniz
8
Augustin, Patrick
8
Chernov, Mikhail
8
Delēs, Manthos D.
8
Hammoudeh, Shawkat
8
Kiesel, Florian
8
Repullo, Rafael
8
Santos, João A. C.
8
Schulte-Mattler, Hermann
8
Zhou, Ying
8
Ballester, Laura
7
Boos, Karl-Heinz
7
Chen, Tsung-Kang
7
González-Urteaga, Ana
7
He, Zhiguo
7
Jin, Justin Y.
7
Laeven, Luc
7
Li, Zhiyong
7
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Review of derivatives research
5
Finance research letters
4
Journal of banking & finance
4
The North American journal of economics and finance : a journal of financial economics studies
4
Applied economics letters
3
European journal of operational research : EJOR
3
Schmalenbach business review : sbr
2
The European journal of finance
2
Zeitschrift für das gesamte Kreditwesen : Pflichtblatt der Frankfurter Wertpapierbörse
2
Die Bank
1
Economics and business review
1
International journal of forecasting
1
International review of economics & finance : IREF
1
Journal of empirical finance
1
Journal of financial stability
1
Journal of risk
1
Pacific-Basin finance journal
1
Schmalenbachs Zeitschrift für betriebswirtschaftliche Forschung : ZfbF
1
The journal of futures markets
1
The journal of real estate finance and economics
1
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
1
Wirtschaftswissenschaftliches Studium : WiSt ; Zeitschrift für Studium und Forschung
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ECONIS (ZBW)
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1
Valuing basket-spread options with default risk under Hawkes jump-diffusion processes
Li, Zelei
;
Tang, Dan
;
Wang, Xingchun
- In:
The European journal of finance
29
(
2023
)
12
,
pp. 1406-1431
Persistent link: https://www.econbiz.de/10014323018
Saved in:
2
Pricing vulnerable basket spread options with liquidity risk
Dong, Ziming
;
Tang, Dan
;
Wang, Xingchun
- In:
Review of derivatives research
26
(
2023
)
1
,
pp. 23-50
Persistent link: https://www.econbiz.de/10014266355
Saved in:
3
Pricing European basket warrants with default risk under stochastic volatility models
Wang, Xingchun
- In:
Applied economics letters
29
(
2022
)
3
,
pp. 253-260
Persistent link: https://www.econbiz.de/10012803500
Saved in:
4
Pricing basket spread options with default risk under Heston-Nandi GARCH models
Wang, Xingchun
;
Zhang, Han
- In:
The North American journal of economics and finance : a …
59
(
2022
),
pp. 1-18
Persistent link: https://www.econbiz.de/10013413519
Saved in:
5
Pricing vulnerable options with stochastic liquidity risk
Wang, Xingchun
- In:
The North American journal of economics and finance : a …
60
(
2022
),
pp. 1-10
Persistent link: https://www.econbiz.de/10013449096
Saved in:
6
Pricing vulnerable options under correlated skew Brownian motions
Guo, Che
;
Wang, Xingchun
- In:
The journal of futures markets
42
(
2022
)
5
,
pp. 852-867
Persistent link: https://www.econbiz.de/10013187607
Saved in:
7
Valuing fade-in options with default risk in Heston-Nandi GARCH models
Wang, Xingchun
- In:
Review of derivatives research
25
(
2022
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10013191374
Saved in:
8
Opening the black box : quantile neural networks for loss given default prediction
Kellner, Ralf
;
Nagl, Maximilian
;
Rösch, Daniel
- In:
Journal of banking & finance
134
(
2022
),
pp. 1-20
Persistent link: https://www.econbiz.de/10013400086
Saved in:
9
Systematic credit risk in securitised mortgage portfolios
Lee, Yong Woong
;
Rösch, Daniel
;
Scheule, Harald
- In:
Journal of banking & finance
122
(
2021
),
pp. 1-19
Persistent link: https://www.econbiz.de/10012659310
Saved in:
10
Pricing vulnerable options with jump risk and liquidity risk
Wang, Xingchun
- In:
Review of derivatives research
24
(
2021
)
3
,
pp. 243-260
Persistent link: https://www.econbiz.de/10012659671
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