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~accessRights:"restricted"
~person:"Capponi, Agostino"
~person:"Fabozzi, Frank J."
~person:"Jarrow, Robert A."
~person:"Mayordomo, Sergio"
~subject:"Derivative"
~subject:"Kreditsicherung"
~subject:"Risk measure"
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Derivative
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10
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Capponi, Agostino
Fabozzi, Frank J.
Jarrow, Robert A.
Mayordomo, Sergio
Wang, Xingchun
13
Acharya, Viral V.
6
Broll, Udo
6
Boos, Karl-Heinz
5
Junge, Benjamin
5
Ongena, Steven
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Welzel, Peter
5
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4
Oosterlee, Cornelis Willebrordus
4
Procasky, William J.
4
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3
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3
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3
Glau, Kathrin
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Gorton, Gary
3
Gündüz, Yalın
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Ho, Kung-Cheng
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Hu, May
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Hu, Nan
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Jain, Shashi
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Johnson, Tim
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Kandhai, Drona
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Karlsson, Patrik
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Koch Medina, Pablo
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Lee, Yong Woong
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Nyborg, Kjell G.
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Journal of financial intermediation
2
Management science : journal of the Institute for Operations Research and the Management Sciences
2
Annual review of financial economics
1
Computational economics
1
Journal of empirical finance
1
Journal of financial services research
1
Journal of international financial markets, institutions & money
1
Journal of monetary economics
1
Mathematical finance : an international journal of mathematics, statistics and financial economics
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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1
Inflation-adjusted bonds, swaps, and derivatives
Jarrow, Robert A.
;
Yildirim, Yildiray
- In:
Annual review of financial economics
15
(
2023
),
pp. 449-471
Persistent link: https://www.econbiz.de/10014426345
Saved in:
2
Investigating the performance of non-gaussian stochastic intensity models in the calibration of credit default
swap
spreads
Bianchi, Michele Leonardo
;
Fabozzi, Frank J.
- In:
Computational economics
46
(
2015
)
2
,
pp. 243-273
Persistent link: https://www.econbiz.de/10011478467
Saved in:
3
Active loan trading
Fabozzi, Frank J.
;
Klingler, Sven
;
Mølgaard, Pia
; …
- In:
Journal of financial intermediation
46
(
2021
),
pp. 1-17
Persistent link: https://www.econbiz.de/10012818064
Saved in:
4
Bank capital requirements, loan guarantees and firm performance
Mayordomo, Sergio
;
Moreno, Antonio
;
Ongena, Steven
; …
- In:
Journal of financial intermediation
45
(
2021
),
pp. 1-15
Persistent link: https://www.econbiz.de/10012656587
Saved in:
5
Optimal investment in credit derivatives portfolio under contagion risk
Bo, Lijun
;
Capponi, Agostino
- In:
Mathematical finance : an international journal of …
26
(
2016
)
4
,
pp. 785-834
Persistent link: https://www.econbiz.de/10011583805
Saved in:
6
Does central clearing benefit risky dealers?
Mayordomo, Sergio
;
Posch, Peter N.
- In:
Journal of international financial markets, …
42
(
2016
),
pp. 91-100
Persistent link: https://www.econbiz.de/10011673419
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
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:
10
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
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