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~person:"Beirne, John"
~person:"Fabozzi, Frank J."
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Search: subject:"Kreditrisiko"
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Kreditrisiko
45
Credit risk
43
Credit derivative
15
Kreditderivat
15
Risikoprämie
12
Risk premium
11
Zinsstruktur
11
Derivat
10
Derivative
10
Yield curve
10
EU-Staaten
9
Theorie
9
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9
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9
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Kreditsicherung
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Bankenliquidität
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United States
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Bank liquidity
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Credit rating
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6
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5
Risikomanagement
5
Risk management
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Zinspolitik
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2007
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Anleihe
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Bond
4
Corporate bond
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Credit default swap
4
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English
45
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Beirne, John
Fabozzi, Frank J.
Ongena, Steven
101
Lucas, André
65
Acharya, Viral V.
61
Altman, Edward I.
61
Rösch, Daniel
60
Koopman, Siem Jan
50
Peydró, José-Luis
50
Schuermann, Til
48
Saunders, Anthony
47
Agarwal, Sumit
46
Gambacorta, Leonardo
41
Scheule, Harald
41
Brigo, Damiano
39
Giesecke, Kay
39
Schwaab, Bernd
39
Caporale, Guglielmo Maria
38
Capponi, Agostino
38
Hamerle, Alfred
37
Hasan, Iftekhar
36
Krahnen, Jan Pieter
35
Monfort, Alain
35
Düllmann, Klaus
33
Gilchrist, Simon
33
Gouriéroux, Christian
33
Tang, Dragon Yongjun
33
Jarrow, Robert A.
32
Duffie, Darrell
31
Longstaff, Francis A.
31
Tarashev, Nikola A.
31
Huschens, Stefan
30
Roesch, Daniel
30
Schmieder, Christian
30
Shin, Hyun Song
30
Berger, Allen N.
29
Jiménez, Gabriel
29
Renne, Jean-Paul
29
Allen, David E.
28
Gürtler, Marc
28
Jokivuolle, Esa
28
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Frank J. Fabozzi Associates <New Hope, Pa.>
2
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The Frank J. Fabozzi series
4
The journal of fixed income
3
Valuation, financial modeling, and quantitative tools
3
Journal / The Capco Institute : journal of financial transformation
2
Journal of international money and finance
2
The handbook of fixed income securities
2
The handbook of municipal bonds
2
Annals of finance
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Annals of operations research ; volume 275, numbers 2 (April 2019)
1
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1
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1
Finance research letters
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1
IMES discussion paper series / Englische Ausgabe
1
International journal of theoretical and applied finance
1
Journal of banking & finance
1
Journal of economic dynamics & control
1
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1
Journal of financial engineering
1
Journal of financial intermediation
1
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1
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1
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ECONIS (ZBW)
44
EconStor
1
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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:
2
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:
3
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:
4
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:
5
The ICA-based factor decomposition of the Eurozone sovereign CDS spreads
Fabozzi, Frank J.
;
Giacometti, Rosella
;
Tsuchida, Naoshi
-
2015
Persistent link: https://www.econbiz.de/10011375946
Saved in:
6
Market implied volatilities for defaultable bonds
Russo, Vincenzo
;
Giacometti, Rosella
;
Fabozzi, Frank J.
-
2019
Persistent link: https://www.econbiz.de/10012008749
Saved in:
7
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:
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
Intertemporal Defaulted Bond Recoveries Prediction Via Machine Learning
Nazemi, Abdolreza
-
2018
The recovery rate on defaulted corporate bonds has a time-varying distribution. We propose machine learning approaches for intertemporal analysis of U.S. corporate bonds' recovery rates with a large number of predictors. The most informative macroeconomic variables are selected from a broad...
Persistent link: https://www.econbiz.de/10012908447
Saved in:
10
Liquidity Risk, Credit Risk and the Overnight Interest Rate Spread : A Stochastic Volatility Modelling Approach
Beirne, John
-
2013
In this paper we model the volatility of the spread between the overnight interest rate and the central bank policy rate (the policy spread) for the euro area and the UK during the two main phases of the financial crisis that began in late 2007. During the crisis, the policy spread exhibited...
Persistent link: https://www.econbiz.de/10013094544
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