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Search: subject:"Counterparty credit exposure"
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Counterparty credit exposure
2
Credit risk
2
Derivat
2
Derivative
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Kreditrisiko
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Option pricing theory
2
Optionspreistheorie
2
CVaR
1
EU countries
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EU-Staaten
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European Option
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Explicit expressions
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Forward
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Greece
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Greeks
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Griechenland
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Measurement
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Messung
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Option trading
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Optionsgeschäft
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Risikomaß
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Risk measure
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Sensitivity
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VAR model
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VAR-Modell
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VaR
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Bao, Ying
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Peng, Cheng
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Zhao, Yanlong
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Li, Shuang
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Shi, Ruoshi
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The North American journal of economics and finance : a journal of financial economics studies
2
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ECONIS (ZBW)
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Sensitivity-based Conditional Value at Risk (SCVaR) : an efficient measurement of credit exposure for options
Shi, Ruoshi
;
Zhao, Yanlong
;
Bao, Ying
;
Peng, Cheng
- In:
The North American journal of economics and finance : a …
62
(
2022
),
pp. 1-19
Persistent link: https://www.econbiz.de/10013539080
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2
Explicit expressions to counterparty credit exposures for Forward and European Option
Li, Shuang
;
Peng, Cheng
;
Bao, Ying
;
Zhao, Yanlong
- In:
The North American journal of economics and finance : a …
52
(
2020
),
pp. 1-14
Persistent link: https://www.econbiz.de/10012656950
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