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~person:"Gouriéroux, Christian"
~person:"Jarrow, Robert A."
~subject:"Credit risk"
~subject:"Risk premium"
~type:"article"
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Credit risk
Risk premium
Kreditrisiko
46
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28
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10
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10
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7
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Gouriéroux, Christian
Jarrow, Robert A.
Rösch, Daniel
37
Altman, Edward I.
33
Fabozzi, Frank J.
28
Scheule, Harald
27
Ongena, Steven
23
Schulte-Mattler, Hermann
23
Capponi, Agostino
21
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20
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20
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19
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17
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16
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16
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16
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16
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15
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15
Chi, Guotai
15
Goodman, Laurie Sharon
15
Hasan, Iftekhar
15
Thomas, Lyn C.
15
Wu, Chunchi
15
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14
Das, Sanjiv R.
14
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14
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14
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14
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14
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14
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14
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14
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14
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13
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13
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13
Schiereck, Dirk
13
Bielecki, Tomasz R.
12
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12
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Journal of banking & finance
6
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3
The journal of fixed income
3
Credit risk models and management
2
International journal of theoretical and applied finance
2
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2
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2
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2
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2
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1
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1
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1
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ECONIS (ZBW)
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1
Futures contract collateralization and its implications
Jarrow, Robert A.
;
Kwok, Simon Sai Man
- In:
Journal of empirical finance
74
(
2023
),
pp. 1-25
Persistent link: https://www.econbiz.de/10014477096
Saved in:
2
A bottom-up, reduced form credit risk model approach for the determination of collateralised loan obligation capital
Jarrow, Robert A.
;
Deventer, Donald R. van
- In:
Journal of risk management in financial institutions
16
(
2022/2023
)
3
,
pp. 237-255
Persistent link: https://www.econbiz.de/10014320229
Saved in:
3
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:
4
Least impulse response estimator for stress test exercises
Gouriéroux, Christian
;
Lu, Yang
- In:
Journal of banking & finance
103
(
2019
),
pp. 62-77
Persistent link: https://www.econbiz.de/10012163773
Saved in:
5
Spread term structure and default correlation
Gagliardini, Patrick
;
Gouriéroux, Christian
- In:
Annals of economics and statistics
123/124
(
2016
),
pp. 175-223
Persistent link: https://www.econbiz.de/10011592744
Saved in:
6
The doble default value-of-the-firm model
Gouriéroux, Christian
;
Monfort, Alain
- In:
The journal of credit risk : published quarterly by …
12
(
2016
)
2
,
pp. 47-76
Persistent link: https://www.econbiz.de/10011597891
Saved in:
7
Pricing default events : surprise, exogeneity and contagion
Gouriéroux, Christian
;
Monfort, Alain
;
Renne, Jean-Paul
- In:
Journal of econometrics
182
(
2014
)
2
,
pp. 397-411
Persistent link: https://www.econbiz.de/10010497742
Saved in:
8
Financial crises and economic growth
Jarrow, Robert A.
- In:
The quarterly review of economics and finance : journal …
54
(
2014
)
2
,
pp. 194-207
Persistent link: https://www.econbiz.de/10010466553
Saved in:
9
Regime switching and bond pricing
Gouriéroux, Christian
;
Monfort, Alain
;
Pegoraro, Fulvio
; …
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
2
,
pp. 237-277
Persistent link: https://www.econbiz.de/10010351547
Saved in:
10
The economic default time and the arcsine law
Guo, Xin
;
Jarrow, Robert A.
;
Larrard, Adrien de
- In:
Journal of financial engineering
1
(
2014
)
3
,
pp. 1-18
Persistent link: https://www.econbiz.de/10010508010
Saved in:
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