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~person:"Capponi, Agostino"
~subject:"Credit risk"
~subject:"Risk premium"
~type_genre:"Aufsatz in Zeitschrift"
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Credit risk
Risk premium
Kreditrisiko
20
Theorie
18
Theory
18
Portfolio selection
9
Portfolio-Management
9
Systemic risk
9
Systemrisiko
9
Credit derivative
7
Derivat
7
Derivative
7
Kreditderivat
7
Business network
6
Insolvency
6
Insolvenz
6
Unternehmensnetzwerk
6
systemic risk
6
Financial crisis
5
Financial services
5
Finanzdienstleistung
5
Finanzkrise
5
Risikomanagement
5
Risk management
5
credit risk
5
Collateral
4
Kreditsicherung
4
Ansteckungseffekt
3
Bankenkrise
3
Banking crisis
3
Contagion effect
3
Markov chain
3
Markov-Kette
3
Option pricing theory
3
Optionspreistheorie
3
Stochastic process
3
Stochastischer Prozess
3
credit default swaps
3
Bank liquidity
2
Bankenliquidität
2
Counterparty risk
2
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Undetermined
11
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Article
20
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Aufsatz in Zeitschrift
Article in journal
20
Arbeitspapier
1
Aufsatz im Buch
1
Book section
1
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1
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1
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Language
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English
20
Author
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Capponi, Agostino
Rösch, Daniel
36
Fabozzi, Frank J.
33
Altman, Edward I.
27
Zaremba, Adam
27
Jarrow, Robert A.
26
Scheule, Harald
26
Gouriéroux, Christian
23
Ongena, Steven
22
Gupta, Rangan
21
Wang, Xingchun
21
Wu, Chunchi
21
Zhou, Hao
21
Crook, Jonathan N.
20
Schulte-Mattler, Hermann
20
Batten, Jonathan A.
18
Jacobs, Kris
18
Wolff, Christiaan Cornelis Petrus
18
Hasan, Iftekhar
17
Saunders, Anthony
17
Wang, Junbo
17
Almeida, Caio
16
Ghosh, Saibal
16
Jacobs, Michael <Jr.>
16
Lucas, André
16
Norden, Lars
16
Andreeva, Galina
15
Bekaert, Geert
15
Brigo, Damiano
15
Gürtler, Marc
15
Hammoudeh, Shawkat
15
Hassan, M. Kabir
15
Mayordomo, Sergio
15
Thomas, Lyn C.
15
Acharya, Viral V.
14
Chi, Guotai
14
Gollier, Christian
14
Monfort, Alain
14
Sarno, Lucio
14
Tzavalis, Elias
14
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Published in...
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Mathematical finance : an international journal of mathematics, statistics and financial theory
5
Finance and stochastics
3
Mathematics of operations research
3
International journal of theoretical and applied finance
2
Management science : journal of the Institute for Operations Research and the Management Sciences
2
Journal of banking & finance
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)
20
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1
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10
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20
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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
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:
3
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:
4
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:
5
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:
6
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:
7
Arbitrage-free XVA
Bichuch, Maxim
;
Capponi, Agostino
;
Sturm, Stephan
- In:
Mathematical finance : an international journal of …
28
(
2018
)
2
,
pp. 582-620
Persistent link: https://www.econbiz.de/10011969094
Saved in:
8
Clearinghouse margin requirements
Capponi, Agostino
;
Cheng, W. Allen
- In:
Operations research
66
(
2018
)
6
,
pp. 1542-1558
Persistent link: https://www.econbiz.de/10011971659
Saved in:
9
Default and systemic
risk
in equilibrium
Capponi, Agostino
;
Larsson, Martin
- In:
Mathematical finance : an international journal of …
25
(
2015
)
1
,
pp. 51-76
Persistent link: https://www.econbiz.de/10011347251
Saved in:
10
Optimal credit investment with borrowing costs
Bo, Lijun
;
Capponi, Agostino
- In:
Mathematics of operations research
42
(
2017
)
2
,
pp. 546-575
Persistent link: https://www.econbiz.de/10011684545
Saved in:
1
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