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Search: subject_exact:"LIBOR-Markt-Modell"
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Yield curve
5
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Poland
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Polen
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Estimation
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Schätzung
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Bank
1
Basel Accord
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Basler Akkord
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CDS spread
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Cheyette model
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Mark-up Pricing
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Option pricing theory
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Angelini, Eliana
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Bystrov, Victor
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Dec, Marcin
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Kliber, Paweł
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Marciniak, Marek
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Ortolano, Alessandra
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Bank i kredyt
NBER working paper series
267
Working paper / National Bureau of Economic Research, Inc.
237
Journal of banking & finance
221
NBER Working Paper
211
The journal of fixed income
140
Discussion paper / Centre for Economic Policy Research
132
Journal of international money and finance
119
Journal of financial economics
116
International journal of theoretical and applied finance
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Working paper series / European Central Bank
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Finance and economics discussion series
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IMF working papers
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Working paper
94
Journal of money, credit and banking : JMCB
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Finance research letters
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International review of economics & finance : IREF
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Economics letters
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The review of financial studies
84
Applied economics
83
The journal of finance : the journal of the American Finance Association
77
Economic modelling
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Journal of empirical finance
72
Journal of monetary economics
72
International review of financial analysis
69
Mathematical finance : an international journal of mathematics, statistics and financial theory
69
Applied financial economics
68
Working papers series / Federal Reserve Bank of San Francisco
68
Journal of economic dynamics & control
67
Applied economics letters
61
Discussion papers / CEPR
61
Journal of financial and quantitative analysis : JFQA
60
Discussion paper
59
The journal of futures markets
59
Journal of international financial markets, institutions & money
58
CESifo working papers
57
ECB Working Paper
56
The North American journal of economics and finance : a journal of financial economics studies
56
Staff reports / Federal Reserve Bank of New York
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IMF working paper
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Finance and stochastics
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1
Do CDS spread determinants affect the probability of default? : a study on the EU banks
Ortolano, Alessandra
;
Angelini, Eliana
- In:
Bank i kredyt
51
(
2020
)
1
,
pp. 1-31
Persistent link: https://www.econbiz.de/10012503314
Saved in:
2
Markovian and multi-curve friendly parametrisation of a HJM model used in valuation adjustment of interest rate derivatives
Dec, Marcin
- In:
Bank i kredyt
50
(
2019
)
2
,
pp. 107-148
Persistent link: https://www.econbiz.de/10012155020
Saved in:
3
A factor-augmented model of markup on mortgage loans in Poland
Bystrov, Victor
- In:
Bank i kredyt
45
(
2014
)
6
,
pp. 491-511
Persistent link: https://www.econbiz.de/10010481216
Saved in:
4
Estymacja struktury terminowej stóp procentowych w Polsce
Kliber, Paweł
- In:
Bank i kredyt
40
(
2009
)
1
,
pp. 107-122
Persistent link: https://www.econbiz.de/10003878887
Saved in:
5
Yield curve estimation at the National Bank of Poland: spline based methods, curve smoothing and market dynamics
Marciniak, Marek
- In:
Bank i kredyt
37
(
2006
)
10
,
pp. 52-74
Persistent link: https://www.econbiz.de/10003426773
Saved in:
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