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~isPartOf:"International journal of theoretical and applied finance"
~subject:"Kreditrisiko"
~subject:"Volatility"
~type_genre:"Article in journal"
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Search: subject_exact:"Multivariate distribution"
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Kreditrisiko
Volatility
Multivariate Verteilung
16
Multivariate distribution
16
Theorie
11
Theory
11
Credit risk
9
Derivat
7
Derivative
7
Credit derivative
5
Kreditderivat
5
Stochastic process
5
Stochastischer Prozess
5
Statistical distribution
4
Statistische Verteilung
4
Correlation
3
Korrelation
3
Markov chain
3
Markov-Kette
3
Option pricing theory
3
Optionspreistheorie
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Portfolio selection
3
Portfolio-Management
3
Risikomanagement
3
Risk management
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default correlation
3
Asset-Backed Securities
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Asset-backed securities
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CAPM
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CVA
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Capital income
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Financial services
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Finanzdienstleistung
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Hedging
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Kapitaleinkommen
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Lévy copulas
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Lévy processes
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Swap
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counterparty risk
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Article in journal
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English
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Brigo, Damiano
2
Crépey, S.
2
Jeanblanc, Monique
2
Bielecki, Tomasz R.
1
Chourdakis, Kyriakos
1
Ehrhardt, Matthias
1
Günther, Michael
1
Jabłecki, Juliusz
1
Kim, Sung Ik
1
Kim, Young Shin
1
Mai, Jan-Frederik
1
Pallavicini, Andrea
1
Papatheodorou, Vasileios
1
Rutkowski, Marek
1
Scherer, Matthias
1
Tarca, Silvio
1
Teng, Long
1
Wu, Dong Li
1
Zargari, B.
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International journal of theoretical and applied finance
Energy economics
31
Economic modelling
11
International review of financial analysis
11
The North American journal of economics and finance : a journal of financial economics studies
11
Finance research letters
9
Applied economics
8
Computational economics
8
International review of economics & finance : IREF
8
Journal of risk
8
Research in international business and finance
8
Journal of empirical finance
7
Journal of international financial markets, institutions & money
6
European journal of operational research : EJOR
5
Journal of risk and financial management : JRFM
5
Emerging markets, finance & trade : a journal of the Society for the Study of Emerging Markets
4
Insurance / Mathematics & economics
4
Journal of risk management in financial institutions
4
Pacific-Basin finance journal
4
Review of quantitative finance and accounting
4
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
4
The European journal of finance
4
The journal of credit risk : published quarterly by Incisive Media
4
Applied economics letters
3
Applied mathematical finance
3
Econometrics : open access journal
3
International Journal of Financial Studies : open access journal
3
International economics : a journal published by CEPII (Center for research and expertise on the world economy)
3
International journal of forecasting
3
Journal of financial econometrics
3
Journal of financial econometrics : official journal of the Society for Financial Econometrics
3
Journal of international money and finance
3
Quantitative finance
3
Review of derivatives research
3
Risks : open access journal
3
The journal of financial market infrastructures
3
The journal of real estate finance and economics
3
Annals of economics and statistics
2
Bulletin of monetary economics and banking
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China finance review international
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1
Factor copula model for portfolio credit risk
Kim, Sung Ik
;
Kim, Young Shin
- In:
International journal of theoretical and applied finance
24
(
2021
)
4
,
pp. 1-25
Persistent link: https://www.econbiz.de/10012652691
Saved in:
2
Rise and fall of synthetic CDO market : lessons learned
Jabłecki, Juliusz
- In:
International journal of theoretical and applied finance
20
(
2017
)
8
,
pp. 1-28
Persistent link: https://www.econbiz.de/10011787469
Saved in:
3
Regulatory capital modeling for credit risk
Rutkowski, Marek
;
Tarca, Silvio
- In:
International journal of theoretical and applied finance
18
(
2015
)
5
,
pp. 1-44
Persistent link: https://www.econbiz.de/10011403880
Saved in:
4
Informationally dynamized Gaussian copula
Crépey, S.
;
Jeanblanc, Monique
;
Wu, Dong Li
- In:
International journal of theoretical and applied finance
16
(
2013
)
2
,
pp. 1-29
Persistent link: https://www.econbiz.de/10009748717
Saved in:
5
Bilateral counterparty risk valuation of CDS contracts with simultaneous defaults
Teng, Long
;
Ehrhardt, Matthias
;
Günther, Michael
- In:
International journal of theoretical and applied finance
16
(
2013
)
7
,
pp. 1-20
Persistent link: https://www.econbiz.de/10010233305
Saved in:
6
Valuation and hedging of CDS counterparty exposure in a Markov copula model
Bielecki, Tomasz R.
;
Crépey, S.
;
Jeanblanc, Monique
; …
- In:
International journal of theoretical and applied finance
15
(
2012
)
1
,
pp. 1-39
Persistent link: https://www.econbiz.de/10009562148
Saved in:
7
Arbitrage-free valuation of bilateral counterparty risk for interest-rate products : impact of volatilities and correlations
Brigo, Damiano
;
Pallavicini, Andrea
;
Papatheodorou, …
- In:
International journal of theoretical and applied finance
14
(
2011
)
6
,
pp. 773-802
Persistent link: https://www.econbiz.de/10009381011
Saved in:
8
Counterparty risk for credit default swaps : impact of spread volatility and default correlation
Brigo, Damiano
;
Chourdakis, Kyriakos
- In:
International journal of theoretical and applied finance
12
(
2009
)
7
,
pp. 1007-1026
Persistent link: https://www.econbiz.de/10003928780
Saved in:
9
A tractable multivariate default model based on a stochastic time-change
Mai, Jan-Frederik
;
Scherer, Matthias
- In:
International journal of theoretical and applied finance
12
(
2009
)
2
,
pp. 227-249
Persistent link: https://www.econbiz.de/10003855783
Saved in:
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