//--> //--> //-->
Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Research Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Retain my current filters
~isPartOf:"Mathematical finance : an international journal of mathematics, statistics and financial theory"
~isPartOf:"Swiss Finance Institute Research Paper"
~isPartOf:"The journal of futures markets"
~isPartOf:"Working paper"
~person:"Capponi, Agostino"
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
A Simple Credit Risk Model wit...
Similar by subject
Narrow search
Delete all filters
| 5 applied filters
Year of publication
From:
To:
Subject
All
Credit risk
5
Kreditrisiko
5
Theorie
4
Theory
4
Financial services
3
Finanzdienstleistung
3
Insolvency
3
Insolvenz
3
Credit derivative
2
Derivat
2
Derivative
2
Kreditderivat
2
Markov chain
2
Markov-Kette
2
Portfolio selection
2
Portfolio-Management
2
credit default swaps
2
credit risk
2
dynamic portfolio optimization
2
regime-switching models
2
Ansteckungseffekt
1
CVA
1
Collateral
1
Contagion effect
1
Dynamic programming
1
Dynamische Optimierung
1
Hamilton-Jacobi-Bellman equations
1
Kreditsicherung
1
Martingal
1
Martingale
1
Option pricing theory
1
Optionspreistheorie
1
Swap
1
Systemic risk
1
Systemrisiko
1
arbitrage-free credit valuation adjustment
1
bilateral CVA
1
collateral margining
1
contagion
1
contagion risk
1
more ...
less ...
Online availability
All
Undetermined
1
Type of publication
All
Article
5
Type of publication (narrower categories)
All
Article in journal
5
Aufsatz in Zeitschrift
5
Language
All
English
5
Author
All
Capponi, Agostino
Guidolin, Massimo
16
Malamud, Semyon
14
Muhle-Karbe, Johannes
14
McAleer, Michael
12
Hens, Thorsten
11
Jondeau, Eric
11
Ongena, Steven
11
Soner, Halil Mete
11
Evstigneev, Igor V.
10
Sornette, Didier
9
Cvitanić, Jakša
7
Filipović, Damir
7
Hoesli, Martin
7
Platen, Eckhard
7
Schenk-Hoppé, Klaus Reiner
7
Zhou, Xun Yu
7
Duffie, Darrell
6
Hau, Harald
6
Nicodano, Giovanna
6
Scaillet, Olivier
6
Bacchetta, Philippe
5
Barone-Adesi, Giovanni
5
Bielecki, Tomasz R.
5
Chang, Chia-Lin
5
Guasoni, Paolo
5
Hugonnier, Julien
5
Li, Duan
5
Mazur, Stepan
5
Mele, Antonio
5
Obayashi, Yoshiki
5
Pérez Amaral, Teodosio
5
Schweizer, Martin
5
Brooks, Robert
4
Fugazza, Carolina
4
Gibson, Rajna
4
Gilli, Manfred
4
Jarrow, Robert A.
4
Jin, Hanqing
4
Kallsen, Jan
4
more ...
less ...
Published in...
All
Mathematical finance : an international journal of mathematics, statistics and financial theory
Swiss Finance Institute Research Paper
The journal of futures markets
Working paper
Mathematics of operations research
4
Operations research
4
Finance and stochastics
3
Management science : journal of the Institute for Operations Research and the Management Sciences
3
International journal of theoretical and applied finance
2
After the crash : financial crises and regulatory responses
1
Annual review of financial economics
1
FEDS Working Paper
1
Finance and economics discussion series
1
Journal of banking & finance
1
Journal of financial and quantitative analysis : JFQA
1
Journal of financial econometrics
1
Journal of monetary economics
1
Mathematical finance : an international journal of mathematics, statistics and financial economics
1
more ...
less ...
Source
All
ECONIS (ZBW)
5
Showing
1
-
5
of
5
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
1
Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps
Brigo, Damiano
;
Capponi, Agostino
;
Pallavicini, Andrea
- In:
Mathematical finance : an international journal of …
24
(
2014
)
1
,
pp. 125-146
Persistent link: https://www.econbiz.de/10010256178
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
Dynamic portfolio optimization with a defaultable security and regime-switching
Capponi, Agostino
;
Figueroa-López, José E.
- In:
Mathematical finance : an international journal of …
24
(
2014
)
2
,
pp. 207-249
Persistent link: https://www.econbiz.de/10010357378
Saved in:
4
Pricing and semimartingale representations of vulnerable contingent claims in regime-switching markets
Capponi, Agostino
;
Figueroa-López, José E.
;
Nisen, Jeffrey
- In:
Mathematical finance : an international journal of …
24
(
2014
)
2
,
pp. 250-288
Persistent link: https://www.econbiz.de/10010357375
Saved in:
5
Default and systemic risk in equilibrium
Capponi, Agostino
;
Larsson, Martin
- In:
Mathematical finance : an international journal of …
25
(
2015
)
1
,
pp. 51-76
Persistent link: https://www.econbiz.de/10011347251
Saved in:
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->