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~person:"Capponi, Agostino"
~person:"Monfort, Alain"
~subject:"Credit risk"
~subject:"Risk premium"
~type_genre:"Aufsatz in Zeitschrift"
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Credit risk
Risk premium
Kreditrisiko
33
Theorie
28
Theory
28
Portfolio selection
13
Portfolio-Management
13
Systemic risk
11
Systemrisiko
11
Credit derivative
10
Derivat
10
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systemic risk
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credit risk
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Aufsatz in Zeitschrift
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34
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English
34
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Capponi, Agostino
Monfort, Alain
Rösch, Daniel
36
Fabozzi, Frank J.
33
Zaremba, Adam
28
Altman, Edward I.
27
Jarrow, Robert A.
26
Scheule, Harald
26
Gouriéroux, Christian
23
Gupta, Rangan
22
Ongena, Steven
22
Wang, Xingchun
21
Wu, Chunchi
21
Zhou, Hao
21
Crook, Jonathan N.
20
Schulte-Mattler, Hermann
20
Jacobs, Kris
19
Batten, Jonathan A.
18
Wolff, Christiaan Cornelis Petrus
18
Hasan, Iftekhar
17
Jacobs, Michael <Jr.>
17
Saunders, Anthony
17
Wang, Junbo
17
Almeida, Caio
16
Ghosh, Saibal
16
Hammoudeh, Shawkat
16
Lucas, André
16
Norden, Lars
16
Andreeva, Galina
15
Bekaert, Geert
15
Brigo, Damiano
15
Chi, Guotai
15
Gürtler, Marc
15
Hassan, M. Kabir
15
Mayordomo, Sergio
15
Thomas, Lyn C.
15
Tzavalis, Elias
15
Acharya, Viral V.
14
Gollier, Christian
14
Rubio, Gonzalo
14
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Mathematical finance : an international journal of mathematics, statistics and financial theory
5
Journal of banking & finance
4
Journal of financial econometrics : official journal of the Society for Financial Econometrics
4
Finance and stochastics
3
International journal of theoretical and applied finance
3
Management science : journal of the Institute for Operations Research and the Management Sciences
3
Mathematics of operations research
3
Review of finance : journal of the European Finance Association
2
The journal of credit risk : published quarterly by Incisive Media
2
Journal of econometrics
1
Journal of financial and quantitative analysis : JFQA
1
Journal of monetary economics
1
Mathematical finance : an international journal of mathematics, statistics and financial economics
1
Operations research
1
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ECONIS (ZBW)
34
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1
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34
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date (oldest first)
1
The collateral rule : evidence from the credit default swap market
Capponi, Agostino
;
Cheng, Wan-Schwin Allen
;
Giglio, Stefano
- In:
Journal of monetary economics
126
(
2022
),
pp. 58-86
Persistent link: https://www.econbiz.de/10013364919
Saved in:
2
Affine modeling of credit
risk
, pricing of credit events, and contagion
Monfort, Alain
;
Pegoraro, Fulvio
;
Renne, Jean-Paul
; …
- In:
Management science : journal of the Institute for …
67
(
2021
)
6
,
pp. 3674-3693
Persistent link: https://www.econbiz.de/10012606968
Saved in:
3
Counterparty
risk
in over-the-counter markets
Frei, Christoph
;
Capponi, Agostino
;
Brunetti, Celso
- In:
Journal of financial and quantitative analysis : JFQA
57
(
2022
)
3
,
pp. 1058-1082
Persistent link: https://www.econbiz.de/10013187330
Saved in:
4
Disastrous defaults
Gouriéroux, Christian
;
Monfort, Alain
;
Mouabbi, Sarah
; …
- In:
Review of finance : journal of the European Finance …
25
(
2021
)
6
,
pp. 1727-1772
Persistent link: https://www.econbiz.de/10012694401
Saved in:
5
Allocating systemic
risk
in a regulatory perspective
Gouriéroux, Christian
;
Monfort, Alain
- In:
International journal of theoretical and applied finance
16
(
2013
)
7
,
pp. 1-20
Persistent link: https://www.econbiz.de/10010233265
Saved in:
6
A theory of collateral requirements for central counterparties
Wang, Jessie Jiaxu
;
Capponi, Agostino
;
Zhang, Hongzhong
- In:
Management science : journal of the Institute for …
68
(
2022
)
9
,
pp. 6993-7017
Persistent link: https://www.econbiz.de/10013373165
Saved in:
7
Pricingcounterparty
risk
including collateralization, netting rules, re-hypothecation and wrong-way
risk
Brigo, Damiano
;
Capponi, Agostino
;
Pallavicini, Andrea
; …
- In:
International journal of theoretical and applied finance
16
(
2013
)
2
,
pp. 1-16
Persistent link: https://www.econbiz.de/10009748723
Saved in:
8
Microinformation, nonlinear filtering, and granularity
Gagliardini, Patrick
;
Gouriéroux, Christian
;
Monfort, Alain
- In:
Journal of financial econometrics : official journal of …
10
(
2012
)
1
,
pp. 1-53
Persistent link: https://www.econbiz.de/10009519715
Saved in:
9
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:
10
Risk
-sensitive asset management and cascading defaults
Birge, John R.
;
Bo, Lijun
;
Capponi, Agostino
- In:
Mathematics of operations research
43
(
2018
)
1
,
pp. 1-28
Persistent link: https://www.econbiz.de/10011818644
Saved in:
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