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~isPartOf:"International journal of theoretical and applied finance"
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Credit risk
108
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38
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Brigo, Damiano
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Rutkowski, Marek
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2
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2
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Scherer, Matthias
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Shibata, Takashi
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1
Ai͏̈d, René
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1
Albanese, Claudio
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Ararat, Çağin
1
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1
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International journal of theoretical and applied finance
Journal of banking & finance
635
IMF Staff Country Reports
592
Finance research letters
357
Journal of risk management in financial institutions
340
SpringerLink / Bücher
335
IMF Working Papers
306
Risks : open access journal
303
European journal of operational research : EJOR
292
International journal of production research
248
Insurance / Mathematics & economics
246
NBER working paper series
235
International review of financial analysis
213
Journal of risk and financial management : JRFM
208
Risiko-Manager
199
Journal of financial stability
194
International journal of production economics
185
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181
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176
The journal of credit risk : published quarterly by Incisive Media
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Journal of financial economics
164
Springer eBook Collection
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Die Bank
155
MPRA Paper
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International review of economics & finance : IREF
148
The journal of operational risk
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Discussion papers / CEPR
137
International journal of risk assessment and management : IJRAM
136
Management science : journal of the Institute for Operations Research and the Management Sciences
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Working paper series / European Central Bank
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Research in international business and finance
133
Economic modelling
131
Discussion paper / Centre for Economic Policy Research
130
The journal of fixed income
128
Managing business risk : a practical guide to protecting your business
123
The journal of risk model validation
123
Wiley finance series
123
Applied economics
119
Energy economics
115
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ECONIS (ZBW)
129
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1
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
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2
Restructuring counterparty credit risk
Albanese, Claudio
;
Brigo, Damiano
;
Oertel, Frank
- In:
International journal of theoretical and applied finance
16
(
2013
)
2
,
pp. 1-29
Persistent link: https://www.econbiz.de/10009748714
Saved in:
3
Justification of per-unit risk capital allocation in portfolio credit risk models
Dorfleitner, Gregor
;
Pfister, Tamara
- In:
International journal of theoretical and applied finance
17
(
2014
)
6
,
pp. 1-29
Persistent link: https://www.econbiz.de/10010438509
Saved in:
4
Local risk minimization of contingent claims simultaneously exposed to endogenous and exogenous default times
Okhrati, Ramin
;
Karpathopoulos, Nikolaos
- In:
International journal of theoretical and applied finance
24
(
2021
)
6/7
,
pp. 1-41
Persistent link: https://www.econbiz.de/10012807897
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5
An improved approach to evaluate default probabilities and default correlations with consistency
Li, Weiping
;
Krehbiel, Timothy L.
- In:
International journal of theoretical and applied finance
19
(
2016
)
5
,
pp. 1-29
Persistent link: https://www.econbiz.de/10011525108
Saved in:
6
Particle methods for the estimation of credit portfolio loss distributions
Carmona, René
;
Crépey, Stéphane
- In:
International journal of theoretical and applied finance
13
(
2010
)
4
,
pp. 577-602
Persistent link: https://www.econbiz.de/10008905024
Saved in:
7
Pricingcounterparty risk including collateralization, netting rules, re-hypothecation and wrong-way risk
Brigo, Damiano
;
Capponi, Agostino
;
Pallavicini, Andrea
; …
- In:
International journal of theoretical and applied finance
16
(
2013
)
2
,
pp. 1-16
Persistent link: https://www.econbiz.de/10009748723
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8
A note on the double impact on CVA for CDS : wrong-way risk with stochastic recovery
Li, Hui
- In:
International journal of theoretical and applied finance
16
(
2013
)
3
,
pp. 1-14
Persistent link: https://www.econbiz.de/10009756066
Saved in:
9
Allocating systemic risk in a regulatory perspective
Gouriéroux, Christian
;
Monfort, Alain
- In:
International journal of theoretical and applied finance
16
(
2013
)
7
,
pp. 1-20
Persistent link: https://www.econbiz.de/10010233265
Saved in:
10
Stress testing the resilience of financial networks
Amini, Hamed
;
Cont, Rama
;
Minca, Andreea
- In:
International journal of theoretical and applied finance
15
(
2012
)
1
,
pp. 1-20
Persistent link: https://www.econbiz.de/10009562144
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