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~isPartOf:"Journal of banking & finance"
~isPartOf:"Journal of empirical finance"
~person:"Crouhy, Michel"
~person:"Fabozzi, Frank J."
~source:"econis"
~subject:"Asymptotic variability"
~subject:"Conditional value-at-risk"
~subject:"Credit risk"
~subject:"Developing countries"
~subject:"Economic growth"
~subject:"Entwicklungsländer"
~subject:"Factor analysis"
~subject:"Firm performance"
~subject:"Supply chain"
~subject:"Theory"
~subject:"Volatility"
~subject:"World"
~type_genre:"Aufsatz in Zeitschrift"
~type_genre:"Collection of articles of several authors"
~type_genre:"Forschungsbericht"
~type_genre:"Government document"
~type_genre:"Handbuch"
~type_genre:"Konferenzschrift"
~type_genre:"Mehrbändiges Werk"
~type_genre:"Thesis"
~type_genre:"Übersichtsarbeit"
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Asymptotic variability
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Crouhy, Michel
Fabozzi, Frank J.
Moshirian, Fariborz
32
Hasan, Iftekhar
17
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17
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13
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6
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6
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6
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6
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Journal of banking & finance
Journal of empirical finance
The journal of portfolio management : JPM
11
The journal of portfolio management : a publication of Institutional Investor
9
International journal of theoretical and applied finance
8
The journal of fixed income
8
Applied economics
6
Computational economics
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International review of financial analysis
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Journal of international money and finance
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Proceedings of the first annual European Futures Research Symposium
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ECONIS (ZBW)
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1
Macroeconomic variable selection for creditor recovery rates
Nazemi, Abdolreza
;
Fabozzi, Frank J.
- In:
Journal of banking & finance
89
(
2018
),
pp. 14-25
Persistent link: https://www.econbiz.de/10011963062
Saved in:
2
A new approach to statistical arbitrage : strategies based on dynamic factor models of prices and their performance
Focardi, Sergio M.
;
Fabozzi, Frank J.
;
Mitov, Ivan K.
- In:
Journal of banking & finance
65
(
2016
),
pp. 134-155
Persistent link: https://www.econbiz.de/10011634338
Saved in:
3
Deciphering robust portfolios
Kim, Woo Chang
;
Kim, Jang Ho
;
Fabozzi, Frank J.
- In:
Journal of banking & finance
45
(
2014
),
pp. 1-8
Persistent link: https://www.econbiz.de/10010466688
Saved in:
4
CVaR sensitivty with respect to tail thickness
Stoyanov, Stoyan V.
;
Račev, Svetlozar T.
;
Fabozzi, Frank J.
- In:
Journal of banking & finance
37
(
2013
)
3
,
pp. 977-988
Persistent link: https://www.econbiz.de/10009708724
Saved in:
5
Risk management and dynamic portfolio selection with stable paretian distributions
Ortobelli, Sergio
;
Račev, Svetlozar T.
;
Fabozzi, Frank J.
- In:
Journal of empirical finance
17
(
2010
)
2
,
pp. 195-211
Persistent link: https://www.econbiz.de/10009271854
Saved in:
6
Pricing of credit default index swap tranches with one-factor heavy-tailed copula models
Wang, Dezhong
;
Račev, Svetlozar T.
;
Fabozzi, Frank J.
- In:
Journal of empirical finance
16
(
2009
)
2
,
pp. 201-215
Persistent link: https://www.econbiz.de/10003839259
Saved in:
7
Momentum strategies based on reward-risk stock selection criteria
Račev, Svetlozar T.
;
Jašić, Teo
;
Stoyanov, Stoyan
; …
- In:
Journal of banking & finance
31
(
2007
)
8
,
pp. 2325-2346
Persistent link: https://www.econbiz.de/10003522928
Saved in:
8
Information about bank risk in options prices
Swidler, Steven Mark
;
Wilcox, James A.
- In:
Journal of banking & finance
26
(
2002
)
5
,
pp. 1033-1057
Persistent link: https://www.econbiz.de/10001665099
Saved in:
9
Prototype risk rating system
Crouhy, Michel
;
Galai, Dan
;
Mark, Robert
- In:
Journal of banking & finance
25
(
2001
)
1
,
pp. 47-95
Persistent link: https://www.econbiz.de/10001546234
Saved in:
10
A comparative analysis of current credit risk models
Crouhy, Michel
;
Galai, Dan
;
Mark, Robert
- In:
Journal of banking & finance
24
(
2000
)
1/2
,
pp. 59-117
Persistent link: https://www.econbiz.de/10001432944
Saved in:
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