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~isPartOf:"Derivatives & financial instruments"
~isPartOf:"Journal of financial and quantitative analysis : JFQA"
~isPartOf:"Mathematical finance : an international journal of mathematics, statistics and financial theory"
~isPartOf:"The journal of finance : the journal of the American Finance Association"
~person:"Capponi, Agostino"
~subject:"Kreditrisiko"
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Search: subject_exact:"Wertpapiertermingeschäft"
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Kreditrisiko
Credit derivative
2
Credit risk
2
Derivat
2
Derivative
2
Financial services
2
Finanzdienstleistung
2
Insolvency
2
Insolvenz
2
Kreditderivat
2
Theorie
2
Theory
2
credit default swaps
2
Ansteckungseffekt
1
CVA
1
Collateral
1
Contagion effect
1
Kreditsicherung
1
Portfolio selection
1
Portfolio-Management
1
Swap
1
arbitrage-free credit valuation adjustment
1
bilateral CVA
1
collateral margining
1
contagion
1
contagion risk
1
counterparty risk
1
credit spread volatility
1
default correlation
1
dynamic portfolio optimization
1
interacting default intensities
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netting
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rehypotecation
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stochastic intensity
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wrong way risk
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Capponi, Agostino
Crépey, Stéphane
2
Biais, Bruno
1
Bo, Lijun
1
Brigo, Damiano
1
Collin-Dufresne, Pierre
1
Cont, Rama
1
Fischer, Tom
1
Goldstein, Robert S.
1
Heider, Florian
1
Hoerova, Marie
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Minca, Andreea
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Pallavicini, Andrea
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Yang, Fan
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Derivatives & financial instruments
Journal of financial and quantitative analysis : JFQA
Mathematical finance : an international journal of mathematics, statistics and financial theory
The journal of finance : the journal of the American Finance Association
After the crash : financial crises and regulatory responses
1
Finance and economics discussion series
1
Finance and stochastics
1
International journal of theoretical and applied finance
1
Journal of banking & finance
1
Mathematical finance : an international journal of mathematics, statistics and financial economics
1
Operations research
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ECONIS (ZBW)
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Optimal investment in credit derivatives portfolio under contagion risk
Bo, Lijun
;
Capponi, Agostino
- In:
Mathematical finance : an international journal of …
26
(
2016
)
4
,
pp. 785-834
Persistent link: https://www.econbiz.de/10011583805
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2
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
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