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~isPartOf:"International journal of theoretical and applied finance"
~isPartOf:"Working paper / National Bureau of Economic Research, Inc."
~subject:"Credit risk"
~subject:"Portfolio selection"
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Credit risk
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Kreditrisiko
209
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113
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62
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59
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59
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56
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56
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51
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Brigo, Damiano
8
He, Zhiguo
5
Jeanblanc, Monique
5
Longstaff, Francis A.
5
Rutkowski, Marek
5
Agarwal, Sumit
4
Gilchrist, Simon
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Milbradt, Konstantin
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3
Bielecki, Tomasz R.
3
Krishnamurthy, Arvind
3
Schmidt, Thorsten
3
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2
Ang, Andrew
2
Ben-David, Itzhak
2
Benmelech, Efraim
2
Capponi, Agostino
2
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2
Chen, Hui
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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2
Pan, Jun
2
Papatheodorou, Vasileios
2
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2
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International journal of theoretical and applied finance
Working paper / National Bureau of Economic Research, Inc.
Journal of banking & finance
478
Finance research letters
196
The journal of credit risk : published quarterly by Incisive Media
165
Journal of financial stability
164
NBER working paper series
133
The journal of fixed income
122
Journal of financial economics
121
Journal of risk management in financial institutions
121
International review of financial analysis
119
Working paper series / European Central Bank
114
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108
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105
European journal of operational research : EJOR
96
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94
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94
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94
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93
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88
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87
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86
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84
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83
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81
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80
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77
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74
The journal of corporate finance : contracting, governance and organization
74
Journal of financial services research : JFSR
73
The European journal of finance
71
The North American journal of economics and finance : a journal of financial economics studies
70
Journal of financial intermediation
69
The journal of structured finance
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Working papers / Federal Reserve Bank of Philadelphia, Research Department
68
Applied economics
67
The journal of real estate finance and economics
66
Applied economics letters
65
SpringerLink / Bücher
64
Discussion paper / Tinbergen Institute
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ECONIS (ZBW)
212
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1
Arbitrage-free valuation of bilateral counterparty risk for interest-rate products : impact of volatilities and correlations
Brigo, Damiano
;
Pallavicini, Andrea
;
Papatheodorou, …
- In:
International journal of theoretical and applied finance
14
(
2011
)
6
,
pp. 773-802
Persistent link: https://www.econbiz.de/10009381011
Saved in:
2
Counterparty risk and funding : the four wings of the TVA
Crépey, Stéphane
;
Gerboud, Rémi
;
Grbac, Zorana
; …
- In:
International journal of theoretical and applied finance
16
(
2013
)
2
,
pp. 1-31
Persistent link: https://www.econbiz.de/10009748728
Saved in:
3
Bilateral counterparty risk valuation of CDS contracts with simultaneous defaults
Teng, Long
;
Ehrhardt, Matthias
;
Günther, Michael
- In:
International journal of theoretical and applied finance
16
(
2013
)
7
,
pp. 1-20
Persistent link: https://www.econbiz.de/10010233305
Saved in:
4
A spread-return mean-reverting model for credit spread dynamics
O'Donoghue, Brendan
;
Peacock, Matthew
;
Lee, Jacky
; …
- In:
International journal of theoretical and applied finance
17
(
2014
)
3
,
pp. 1-14
Persistent link: https://www.econbiz.de/10010364761
Saved in:
5
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:
6
Modelling the bid and ask prices of illiquid CDSs
Walker, Michael B.
- In:
International journal of theoretical and applied finance
15
(
2012
)
6
,
pp. 1-37
Persistent link: https://www.econbiz.de/10009672590
Saved in:
7
An implied volatility model determined by credit default swaps
Heider, Pascal
- In:
International journal of theoretical and applied finance
15
(
2012
)
7
,
pp. 1-21
Persistent link: https://www.econbiz.de/10009685890
Saved in:
8
Corporate yield spreads: default risk or liquidity? : new evidence from the credit-default
swap
market
Longstaff, Francis A.
;
Mithal, Sanjay
;
Neis, Eric
-
2004
Persistent link: https://www.econbiz.de/10002022642
Saved in:
9
From bid-ask credit default
swap
quotes to risk-neutral default probabilities using distorted expectations
Michielon, Matteo
;
Khedher, Asma
;
Spreij, Peter
- In:
International journal of theoretical and applied finance
24
(
2021
)
3
,
pp. 1-22
Persistent link: https://www.econbiz.de/10012652634
Saved in:
10
Counterparty risk for Credit Default
Swap
with states related default intensity processes
Tang, Dan
;
Wang, Yongjin
;
Zhou, Yuzhen
- In:
International journal of theoretical and applied finance
14
(
2011
)
8
,
pp. 1335-1353
Persistent link: https://www.econbiz.de/10009541993
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