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~isPartOf:"The journal of derivatives : the official publication of the International Association of Financial Engineers"
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Kupiec, Paul H.
5
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2
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The journal of derivatives : the official publication of the International Association of Financial Engineers
Journal of banking & finance
1,019
NBER working paper series
696
Finance research letters
663
Working paper / National Bureau of Economic Research, Inc.
587
European journal of operational research : EJOR
579
Insurance / Mathematics & economics
528
NBER Working Paper
515
International review of financial analysis
411
Journal of financial economics
388
International journal of theoretical and applied finance
350
Management science : journal of the Institute for Operations Research and the Management Sciences
325
Journal of economic dynamics & control
319
Discussion paper / Centre for Economic Policy Research
310
Risks : open access journal
304
Research paper series / Swiss Finance Institute
303
The journal of finance : the journal of the American Finance Association
296
Applied economics
279
International review of economics & finance : IREF
279
Economics letters
275
The journal of asset management
261
Economic modelling
258
Journal of empirical finance
258
The journal of portfolio management : a publication of Institutional Investor
258
The review of financial studies
252
SpringerLink / Bücher
249
Quantitative finance
244
Finance and stochastics
243
The European journal of finance
242
Discussion paper / Tinbergen Institute
239
Discussion papers / CEPR
231
The North American journal of economics and finance : a journal of financial economics studies
231
Journal of financial and quantitative analysis : JFQA
229
Research in international business and finance
229
Mathematical finance : an international journal of mathematics, statistics and financial theory
223
Journal of risk and financial management : JRFM
221
Journal of international financial markets, institutions & money
218
Working paper
211
Applied economics letters
210
Swiss Finance Institute Research Paper
196
Pacific-Basin finance journal
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ECONIS (ZBW)
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1
The impact of margin interest on the valuation of credit default swaps
Kan, Yu Hang
;
Pedersen, Claus
- In:
The journal of derivatives : the official publication …
20
(
2012
)
1
,
pp. 60-79
Persistent link: https://www.econbiz.de/10009671707
Saved in:
2
Interest rate
swap
credit valuation adjustment
Černý, Jakub
;
Witzany, Jiří
- In:
The journal of derivatives : the official publication …
23
(
2015
)
1
,
pp. 24-35
Persistent link: https://www.econbiz.de/10011404521
Saved in:
3
Recent advances in default
swap
valuation
Cheng, Wai-yan
- In:
The journal of derivatives : the official publication …
9
(
2001
)
1
,
pp. 18-27
Persistent link: https://www.econbiz.de/10001618895
Saved in:
4
Digital premium
Berd, Arthur M.
;
Kapoor, Vivek
- In:
The journal of derivatives : the official publication …
10
(
2002
)
3
,
pp. 66-76
Persistent link: https://www.econbiz.de/10001770081
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5
Asymmetric dynamics between informed trading activity and credit default swaps
Hu, Wen-Cheng
;
Huang, Alex
- In:
The journal of derivatives : the official publication …
26
(
2018
)
2
,
pp. 70-85
Persistent link: https://www.econbiz.de/10011968700
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6
An empirical evaluation of value at risk by scenario simulation
Abken, Peter A.
- In:
The journal of derivatives : the official publication …
7
(
2000
)
4
,
pp. 12-29
Persistent link: https://www.econbiz.de/10001500033
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7
A guide to volatility and variance swaps
Demeterfi, Kresimir
(
contributor
)
- In:
The journal of derivatives : the official publication …
6
(
1999
)
4
,
pp. 9-32
Persistent link: https://www.econbiz.de/10001432447
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8
A generalized single common factor model of portfolio credit risk
Kupiec, Paul H.
- In:
The journal of derivatives : the official publication …
15
(
2008
)
3
,
pp. 25-40
Persistent link: https://www.econbiz.de/10003673343
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9
Dynamic models of portfolio credit risk : a simplified approach
Hull, John
;
White, Alan
- In:
The journal of derivatives : the official publication …
15
(
2008
)
4
,
pp. 9-28
Persistent link: https://www.econbiz.de/10003733219
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10
A simple model of correlated defaults with application to repo portfolios
Gatarek, Dariusz
;
Jabłecki, Juliusz
- In:
The journal of derivatives : the official publication …
23
(
2015
)
1
,
pp. 8-23
Persistent link: https://www.econbiz.de/10011404518
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