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~person:"Frey, Rüdiger"
~subject:"Kreditrisiko"
~subject:"Volatilität"
~type_genre:"Article in journal"
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Search: person:"Frey, Rüdiger"
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Kreditrisiko
Volatilität
Theorie
18
Theory
18
Hedging
7
Portfolio selection
7
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7
Credit risk
5
Option pricing theory
5
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5
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4
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Frey, Rüdiger
Runggaldier, Wolfgang J.
2
Damian, Camilla
1
Kurt, Kevin
1
McNeil, Alexander J.
1
Popp, Monika
1
Rösler, Lars
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Seydel, Roland C.
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International journal of theoretical and applied finance
2
Journal of banking & finance
2
Finance and stochastics
1
Mathematical methods of operations research
1
Mathematics and financial economics
1
The journal of credit risk : published quarterly by Incisive Media
1
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ECONIS (ZBW)
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1
How safe are european safe bonds? : an analysis from the perspective of modern credit risk models
Frey, Rüdiger
;
Kurt, Kevin
;
Damian, Camilla
- In:
Journal of banking & finance
119
(
2020
),
pp. 1-18
Persistent link: https://www.econbiz.de/10012521283
Saved in:
2
Contagion effects and collateralized credit value adjustments for credit default swaps
Frey, Rüdiger
;
Rösler, Lars
- In:
International journal of theoretical and applied finance
17
(
2014
)
7
,
pp. 1-29
Persistent link: https://www.econbiz.de/10010498864
Saved in:
3
Optimal securitization of credit portfolios via impulse control
Frey, Rüdiger
;
Seydel, Roland C.
- In:
Mathematics and financial economics
4
(
2010
)
1
,
pp. 1-28
Persistent link: https://www.econbiz.de/10008807103
Saved in:
4
An approximation for credit portfolio losses
Frey, Rüdiger
;
Popp, Monika
;
Weber, Stefan
- In:
The journal of credit risk : published quarterly by …
4
(
2008/09
)
1
,
pp. 3-20
Persistent link: https://www.econbiz.de/10003745393
Saved in:
5
VaR and expected shortfall in portfolios of dependent credit risks: conceptual and practical insights
Frey, Rüdiger
;
McNeil, Alexander J.
- In:
Journal of banking & finance
26
(
2002
)
7
,
pp. 1317-1334
Persistent link: https://www.econbiz.de/10001688506
Saved in:
6
A nonlinear filtering approach to volatility estimation with a view towards high frequency
Frey, Rüdiger
;
Runggaldier, Wolfgang J.
- In:
International journal of theoretical and applied finance
4
(
2001
)
2
,
pp. 199-210
Persistent link: https://www.econbiz.de/10001578681
Saved in:
7
Superreplication in stochastic volatility models and optimal stopping
Frey, Rüdiger
- In:
Finance and stochastics
4
(
2000
)
2
,
pp. 161-187
Persistent link: https://www.econbiz.de/10001486701
Saved in:
8
Risk-minimizing hedging strategies under restricted information : the case of stochastic volatility models observable only at discrete random times
Frey, Rüdiger
;
Runggaldier, Wolfgang J.
- In:
Mathematical methods of operations research
50
(
1999
)
2
,
pp. 339-350
Persistent link: https://www.econbiz.de/10001428847
Saved in:
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