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~language:"eng"
~language:"est"
~person:"Fabozzi, Frank J."
~person:"Giesecke, Kay"
~subject:"Credit risk"
~type_genre:"Article in journal"
~type_genre:"Conference Paper"
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Credit risk
Theorie
98
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98
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84
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84
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41
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41
Option pricing theory
35
Optionspreistheorie
35
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31
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31
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30
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27
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27
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Fabozzi, Frank J.
Giesecke, Kay
Rösch, Daniel
31
Altman, Edward I.
26
Scheule, Harald
25
Ongena, Steven
22
Jarrow, Robert A.
21
Capponi, Agostino
20
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20
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20
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17
Gouriéroux, Christian
17
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17
Chi, Guotai
16
Lucas, André
16
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15
Brigo, Damiano
15
Hasan, Iftekhar
15
Norden, Lars
15
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15
Thomas, Lyn C.
15
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14
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14
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12
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11
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11
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11
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11
Kupiec, Paul H.
11
Parnes, Dror
11
Shahzad, Syed Jawad Hussain
11
Wu, Eliza
11
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Journal of banking & finance
3
Journal of economic dynamics & control
3
The journal of fixed income
3
Journal / The Capco Institute : journal of financial transformation
2
Operations research
2
Annals of finance
1
Applied financial economics
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ECONIS (ZBW)
30
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1
Creditor protection and credit ratings in the US RMBS market
Breemen, Vivian van
;
Fabozzi, Frank J.
;
Nawas, Mike
; …
- In:
Financial markets, institutions & instruments
33
(
2024
)
3
,
pp. 267-292
Persistent link: https://www.econbiz.de/10014634627
Saved in:
2
How much do investors rely on credit ratings : empirical evidence from the U.S. and E.U. CLO primary market
Fabozzi, Frank J.
;
Breemen, Vivian van
;
Vink, Dennis
; …
- In:
Journal of financial services research
63
(
2023
)
2
,
pp. 221-247
Persistent link: https://www.econbiz.de/10014258846
Saved in:
3
Intertemporal defaulted bond recoveries prediction via machine learning
Nazemi, Abdolreza
;
Baumann, Friedrich
;
Fabozzi, Frank J.
- In:
European journal of operational research : EJOR
297
(
2022
)
3
,
pp. 1162-1177
Persistent link: https://www.econbiz.de/10013263044
Saved in:
4
Active loan trading
Fabozzi, Frank J.
;
Klingler, Sven
;
Mølgaard, Pia
; …
- In:
Journal of financial intermediation
46
(
2021
),
pp. 1-17
Persistent link: https://www.econbiz.de/10012818064
Saved in:
5
Deep learning for mortgage risk
Sadhwani, Apaar
;
Giesecke, Kay
;
Sirignano, Justin
- In:
Journal of financial econometrics
19
(
2021
)
2
,
pp. 313-368
Persistent link: https://www.econbiz.de/10012620055
Saved in:
6
Application of the Merton model to estimate the probability of breaching the capital requirements under Basel III rules
Russo, Vincenzo
;
Lagasio, Valentina
;
Brogi, Marina
; …
- In:
Annals of finance
16
(
2020
)
1
,
pp. 141-157
Persistent link: https://www.econbiz.de/10012495982
Saved in:
7
Risk analysis for large pools of loans
Sirignano, Justin
;
Giesecke, Kay
- In:
Management science : journal of the Institute for …
65
(
2019
)
1
,
pp. 107-121
Persistent link: https://www.econbiz.de/10011991377
Saved in:
8
Local volatility and the recovery rate of credit default swaps
Jansen, Jeroen
;
Das, Sanjiv R.
;
Fabozzi, Frank J.
- In:
Journal of economic dynamics & control
92
(
2018
),
pp. 1-29
Persistent link: https://www.econbiz.de/10011974230
Saved in:
9
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:
10
CDS implied credit ratings
Jansen, Jeroen
;
Fabozzi, Frank J.
- In:
The journal of fixed income
26
(
2017
)
4
,
pp. 25-52
Persistent link: https://www.econbiz.de/10011684760
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