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Credit risk
32
Kreditrisiko
32
Option pricing theory
15
Optionspreistheorie
15
Theorie
14
Theory
14
Credit derivative
13
Derivat
13
Derivative
13
Kreditderivat
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Risikoprämie
7
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Option trading
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Asset-Backed Securities
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Bond
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CAPM
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Corporate bond
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Credit default swaps
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Credit derivatives
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EU countries
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Wang, Xingchun
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Rösch, Daniel
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Cané de Estrada, Mariano
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Review of derivatives research
Journal of banking & finance
512
Finance research letters
198
IMF Working Papers
196
NBER working paper series
194
Journal of financial stability
179
The journal of credit risk : published quarterly by Incisive Media
176
Working paper / National Bureau of Economic Research, Inc.
168
NBER Working Paper
154
MPRA Paper
151
International review of financial analysis
139
The journal of fixed income
139
Journal of financial economics
137
Discussion papers / CEPR
136
Discussion paper / Centre for Economic Policy Research
135
IMF working papers
135
Working paper series / European Central Bank
131
International journal of theoretical and applied finance
119
Journal of risk management in financial institutions
117
International review of economics & finance : IREF
115
ECB Working Paper
114
The journal of structured finance
112
CESifo working papers
99
Finance and economics discussion series
99
European journal of operational research : EJOR
97
Journal of international financial markets, institutions & money
97
Journal of international money and finance
97
Economic modelling
94
Working paper
93
Discussion paper
92
The journal of risk model validation
92
Research paper series / Swiss Finance Institute
86
Review of quantitative finance and accounting
86
Risks : open access journal
84
IMF Staff Country Reports
82
Management science : journal of the Institute for Operations Research and the Management Sciences
81
Discussion paper / Tinbergen Institute
80
Working Paper
80
Applied economics
79
Research in international business and finance
79
Working papers / Federal Reserve Bank of Philadelphia, Research Department
79
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ECONIS (ZBW)
35
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1
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10
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35
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1
Pricing vulnerable basket spread options with liquidity risk
Dong, Ziming
;
Tang, Dan
;
Wang, Xingchun
- In:
Review of derivatives research
26
(
2023
)
1
,
pp. 23-50
Persistent link: https://www.econbiz.de/10014266355
Saved in:
2
Portfolio benefits of adding corporate credit
default
swap indices : evidence from North America and Europe
Hippert, Benjamin
;
Uhde, André
;
Wengerek, Sascha Tobias
- In:
Review of derivatives research
22
(
2019
)
2
,
pp. 203-259
Persistent link: https://www.econbiz.de/10012311669
Saved in:
3
Pricing vulnerable options with jump risk and liquidity risk
Wang, Xingchun
- In:
Review of derivatives research
24
(
2021
)
3
,
pp. 243-260
Persistent link: https://www.econbiz.de/10012659671
Saved in:
4
Structural
default
model with mutual obligations
Itkin, Andrey
;
Lipton, Alexander
- In:
Review of derivatives research
20
(
2017
)
1
,
pp. 15-46
Persistent link: https://www.econbiz.de/10011930552
Saved in:
5
The impact of non-cash collateralization on the over-the-counter derivatives markets
Takino, Kazuhiro
- In:
Review of derivatives research
25
(
2022
)
2
,
pp. 137-171
Persistent link: https://www.econbiz.de/10013457608
Saved in:
6
Valuing fade-in options with
default
risk in Heston-Nandi GARCH models
Wang, Xingchun
- In:
Review of derivatives research
25
(
2022
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10013191374
Saved in:
7
Pricing commodity-linked bonds with stochastic convenience yield, interest rate and counterparty credit risk : application of Mellin transform methods
Ma, Zonggang
;
Ma, Chaoqun
;
Wu, Zhijian
- In:
Review of derivatives research
25
(
2022
)
1
,
pp. 47-91
Persistent link: https://www.econbiz.de/10013191382
Saved in:
8
The determinants of CDS spreads : evidence from the model space
Pelster, Matthias
;
Vilsmeier, Johannes
- In:
Review of derivatives research
21
(
2018
)
1
,
pp. 63-118
Persistent link: https://www.econbiz.de/10012055732
Saved in:
9
Tempered stable structural model in pricing credit spread and credit
default
swap
Kim, Sung Ik
;
Kim, Young Shin
- In:
Review of derivatives research
21
(
2018
)
1
,
pp. 119-148
Persistent link: https://www.econbiz.de/10012055733
Saved in:
10
Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes
Liang, Gechun
;
Wang, Xingchun
- In:
Review of derivatives research
24
(
2021
)
1
,
pp. 1-30
Persistent link: https://www.econbiz.de/10012498465
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