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Static hedging of defaultable contingent claims : a simple hedging scheme across equity and credit markets
Ohsaki, Shuichi; Yamazaki, Akira - In: International journal of theoretical and applied finance 14 (2011) 2, pp. 239-264
Persistent link: https://www.econbiz.de/10008992168
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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
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CVA under alternative settlement conventions and with systemic risk
Durand, Cyril; Rutkowski, Marek - In: International journal of theoretical and applied finance 16 (2013) 7, pp. 1-40
Persistent link: https://www.econbiz.de/10010233319
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Value-at-risk computations in stochastic volatility models using second-order weak approximation schemes
Lütkebohmert-Holtz, Eva; Matchie, Lydienne - In: International journal of theoretical and applied finance 17 (2014) 1, pp. 1-26
Persistent link: https://www.econbiz.de/10010363958
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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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Regulatory capital modeling for credit risk
Rutkowski, Marek; Tarca, Silvio - In: International journal of theoretical and applied finance 18 (2015) 5, pp. 1-44
Persistent link: https://www.econbiz.de/10011403880
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Efficient risk measures calculations for generalized CreditRisk+ models
Huang, Zhenzhen; Kwok, Yue-Kuen - In: International journal of theoretical and applied finance 24 (2021) 2, pp. 1-51
Persistent link: https://www.econbiz.de/10012650350
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The stress-dependent random walk
Gremm, Martin - In: International journal of theoretical and applied finance 18 (2015) 8, pp. 1-16
Persistent link: https://www.econbiz.de/10011419399
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A liquidation risk adjustment for value at risk and expected shortfall
Wagalath, Lakshithe; Zubelli, Jorge P. - In: International journal of theoretical and applied finance 21 (2018) 3, pp. 1-21
Persistent link: https://www.econbiz.de/10011889543
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Theoretical sensitivity analysis for quantitative operational risk management
Kato, Takashi - In: International journal of theoretical and applied finance 20 (2017) 5, pp. 1-23
Persistent link: https://www.econbiz.de/10011733962