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~accessRights:"restricted"
~person:"Capponi, Agostino"
~person:"Jarrow, Robert A."
~subject:"Derivative"
~subject:"Incomplete information"
~subject:"Kreditsicherung"
~subject:"Risk measure"
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Capponi, Agostino
Jarrow, Robert A.
Wang, Xingchun
13
Acharya, Viral V.
8
Broll, Udo
6
Rösch, Daniel
6
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Management science : journal of the Institute for Operations Research and the Management Sciences
2
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1
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1
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1
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ECONIS (ZBW)
10
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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
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:
3
Systemic risk mitigation in financial networks
Capponi, Agostino
;
Chen, Peng-Chu
- In:
Journal of economic dynamics & control
58
(
2015
),
pp. 152-166
Persistent link: https://www.econbiz.de/10011574650
Saved in:
4
Dynamic credit investment in partially observed markets
Capponi, Agostino
;
Figueroa-López, José E.
;
Pascucci, …
- In:
Finance and stochastics
19
(
2015
)
4
,
pp. 891-939
Persistent link: https://www.econbiz.de/10011421091
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
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:
7
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:
8
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:
9
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:
10
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:
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