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~person:"Capponi, Agostino"
~person:"Farina, G."
~person:"Jahel, Lina el"
~subject:"Kreditrisiko"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject:"Credit Default Swaps"
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Kreditrisiko
Credit derivative
11
Kreditderivat
11
Credit risk
10
Credit default swaps
5
Derivat
5
Derivative
5
Financial services
5
Finanzdienstleistung
5
Theorie
5
Theory
5
credit default swaps
5
Insolvency
4
Insolvenz
4
Swap
3
Credit insurance
2
Estimation
2
Kreditversicherung
2
Marshall-Olkin distribution
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Portfolio selection
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Public bond
2
Schätzung
2
Systemic risk
2
Systemrisiko
2
Öffentliche Anleihe
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Ansteckungseffekt
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CDX indices
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CVA
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Contagion effect
1
Corporate debt
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Counterparty risk
1
Credit rating
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Credit ratings
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Credit valuation adjustment
1
Creditors
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Debt management
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Aufsatz in Zeitschrift
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Capponi, Agostino
Farina, G.
Jahel, Lina el
Tang, Dragon Yongjun
6
Kiesel, Florian
5
Lovreta, Lidija
4
Zhang, Gaiyan
4
Zhu, Lu
4
Augustin, Patrick
3
Bo, Lijun
3
Cathcart, Lara
3
Danis, András
3
Di Tommaso, Caterina
3
Gündüz, Yalın
3
Paddrik, Mark
3
Shahzad, Syed Jawad Hussain
3
Shan, Chenyu
3
Uzmanoglu, Cihan
3
Wang, Sarah Qian
3
Bedendo, Mascia
2
Bhat, Gauri
2
Brigo, Damiano
2
Calice, Giovanni
2
Callen, Jeffrey L.
2
Casu, Barbara
2
Chen, Yangyang
2
Clark, Brian
2
Creal, Drew
2
De Giuli, Maria Elena
2
Donato, James
2
Drago, Danilo
2
Ehrhardt, Matthias
2
Francis, Bill B.
2
Gamba, Andrea
2
Giacometti, Rosella
2
Hammoudeh, Shawkat
2
Hu, Nan
2
Hübel, Benjamin
2
Ismailescu, Iuliana
2
Kandhai, Drona
2
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Mathematical finance : an international journal of mathematics, statistics and financial theory
2
Computational management science
1
Finance and stochastics
1
Journal of banking & finance
1
Journal of financial markets
1
Journal of money, credit and banking : JMCB
1
Journal of the Operational Research Society
1
Management science : journal of the Institute for Operations Research and the Management Sciences
1
The European journal of finance
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ECONIS (ZBW)
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1
Risk attribution and interconnectedness in the EU via CDS data
Giacometti, Rosella
;
Torri, Gabriele
;
Farina, G.
;
De …
- In:
Computational management science
17
(
2020
)
4
,
pp. 549-567
Persistent link: https://www.econbiz.de/10012486984
Saved in:
2
Systemic risk attribution in the EU
Farina, G.
;
Giacometti, Rosella
;
De Giuli, Maria Elena
- In:
Journal of the Operational Research Society
70
(
2019
)
7
,
pp. 1115-1128
Persistent link: https://www.econbiz.de/10012213607
Saved in:
3
Excess comovement in credit default swap markets : evidence from the CDX indices
Cathcart, Lara
;
Jahel, Lina el
;
Evans, Leo
;
Shi, Yining
- In:
Journal of financial markets
43
(
2019
),
pp. 96-120
Persistent link: https://www.econbiz.de/10012316303
Saved in:
4
Systemic influences on optimal equity-credit investment
Capponi, Agostino
;
Frei, Christoph
- In:
Management science : journal of the Institute for …
63
(
2017
)
8
,
pp. 2756-2771
Persistent link: https://www.econbiz.de/10011741445
Saved in:
5
Distressed debt restructuring in the presence of
credit
default
swaps
Bedendo, Mascia
;
Cathcart, Lara
;
Jahel, Lina el
- In:
Journal of money, credit and banking : JMCB
48
(
2016
)
1
,
pp. 165-201
Persistent link: https://www.econbiz.de/10011516515
Saved in:
6
Implied liquidity risk premium in the term structure of sovereign credit default swap and bond spreads
Badaoui, Saad
;
Cathcart, Lara
;
Jahel, Lina el
- In:
The European journal of finance
22
(
2016
)
10/12
,
pp. 825-853
Persistent link: https://www.econbiz.de/10011715207
Saved in:
7
Optimal investment in credit derivatives portfolio under contagion risk
Bo, Lijun
;
Capponi, Agostino
- In:
Mathematical finance : an international journal of …
26
(
2016
)
4
,
pp. 785-834
Persistent link: https://www.econbiz.de/10011583805
Saved in:
8
Counterparty risk for CDS : default clustering effects
Bo, Lijun
;
Capponi, Agostino
- In:
Journal of banking & finance
52
(
2015
),
pp. 29-42
Persistent link: https://www.econbiz.de/10011377294
Saved in:
9
Bilateral credit valuation adjustment for large credit derivatives portfolios
Bo, Lijun
;
Capponi, Agostino
- In:
Finance and stochastics
18
(
2014
)
2
,
pp. 431-482
Persistent link: https://www.econbiz.de/10010340674
Saved in:
10
Arbitrage-free bilateral counterparty risk valuation under collateralization and application to
credit
default
swaps
Brigo, Damiano
;
Capponi, Agostino
;
Pallavicini, Andrea
- In:
Mathematical finance : an international journal of …
24
(
2014
)
1
,
pp. 125-146
Persistent link: https://www.econbiz.de/10010256178
Saved in:
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