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~isPartOf:"BIS working papers"
~isPartOf:"The journal of financial market infrastructures"
~subject:"Kreditrisiko"
~subject:"Statistische Verteilung"
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Kreditrisiko
Statistische Verteilung
Credit risk
4
Multivariate Verteilung
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Multivariate distribution
4
Credit derivative
3
Derivat
3
Derivative
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Kreditderivat
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Statistical distribution
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Student t DCC copula
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central counterparties (CCPs)
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Bhanu, Aniket
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Cheruvelil, Roy M.
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Li, David
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The journal of financial market infrastructures
Insurance / Mathematics & economics
41
Risks : open access journal
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14
The North American journal of economics and finance : a journal of financial economics studies
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SFB 649 discussion paper
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International journal of theoretical and applied finance
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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European journal of operational research : EJOR
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Discussion paper / Tinbergen Institute
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Finance research letters
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Scandinavian actuarial journal
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Applied economics letters
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Astin bulletin : the journal of the International Actuarial Association
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International journal of forecasting
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Construction of hypothetical scenarios for central counterparty stress tests using vine copulas
Bhanu, Aniket
;
Virmani, Vineet
- In:
The journal of financial market infrastructures
10
(
2022
)
4
,
pp. 29-53
Persistent link: https://www.econbiz.de/10014538750
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2
Study of correlation impact on credit default swap margin using a GARCH-DCC-copula framework
Li, David
;
Cheruvelil, Roy M.
- In:
The journal of financial market infrastructures
8
(
2019
)
1
,
pp. 51-92
Persistent link: https://www.econbiz.de/10012373185
Saved in:
3
Initial margin estimations for credit default swap portfolios
Ivanov, Stanislav
- In:
The journal of financial market infrastructures
5
(
2017
)
4
,
pp. 22-49
Persistent link: https://www.econbiz.de/10011729219
Saved in:
4
The pricing of portfolio credit risk
Tarashev, Nikola A.
;
Zhu, Haibin
-
2006
Persistent link: https://www.econbiz.de/10003376553
Saved in:
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