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~person:"Capponi, Agostino"
~person:"Jarrow, Robert A."
~subject:"Incomplete information"
~subject:"Kreditsicherung"
~subject:"Risk measure"
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Incomplete information
Kreditsicherung
Risk measure
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70
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70
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54
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Capponi, Agostino
Jarrow, Robert A.
Allen, David E.
19
Brigo, Damiano
14
Acharya, Viral V.
13
McAleer, Michael
12
Powell, Robert
12
Heider, Florian
11
Hoerova, Marie
11
Pallavicini, Andrea
10
Roszbach, Kasper
10
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9
Fermanian, Jean-David
9
Ongena, Steven
9
Phelan, Gregory
9
Yorulmazer, Tanju
9
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8
Huschens, Stefan
8
Mistrulli, Paolo Emilio
8
Rösch, Daniel
8
Columba, Francesco
7
Frame, W. Scott
7
Gale, Douglas
7
Gambacorta, Leonardo
7
Gong, Feixue
7
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7
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7
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7
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7
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6
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6
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International journal of theoretical and applied finance
2
After the crash : financial crises and regulatory responses
1
Annals of Applied Probability, Forthcoming
1
Finance and stochastics
1
Journal of banking & finance
1
Journal of empirical finance
1
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1
Journal of monetary economics
1
Journal of risk management in financial institutions
1
Management science : journal of the Institute for Operations Research and the Management Sciences
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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ECONIS (ZBW)
18
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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
Dynamic credit investment in partially observed markets
Capponi, Agostino
;
Figueroa-López, José E.
;
Pascucci, …
- In:
Finance and stochastics
19
(
2015
)
4
,
pp. 891-939
Persistent link: https://www.econbiz.de/10011421091
Saved in:
3
Derivative clearinghouses : collateral management and policy implications
Capponi, Agostino
- In:
After the crash : financial crises and regulatory responses
,
(pp. 371-383)
.
2019
Persistent link: https://www.econbiz.de/10012120731
Saved in:
4
Credit risk models with incomplete information
Guo, Xin
;
Jarrow, Robert A.
;
Zeng, Yan
- In:
Mathematics of operations research
34
(
2009
)
2
,
pp. 320-332
Persistent link: https://www.econbiz.de/10003870282
Saved in:
5
Relating top-down with bottom-up approaches in the evaluation of ABS with large collateral pools
Diener, Nicolas
;
Jarrow, Robert A.
;
Protter, Philip E.
- In:
International journal of theoretical and applied finance
15
(
2012
)
2
,
pp. 1-20
Persistent link: https://www.econbiz.de/10009624528
Saved in:
6
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
Saved in:
7
A leverage ratio rule for capital adequacy
Jarrow, Robert A.
- In:
Journal of banking & finance
37
(
2013
)
3
,
pp. 973-976
Persistent link: https://www.econbiz.de/10009708725
Saved in:
8
A critique of revised Basel II
Jarrow, Robert A.
- In:
Journal of financial services research : JFSR
32
(
2007
)
1/2
,
pp. 1-16
Persistent link: https://www.econbiz.de/10003576332
Saved in:
9
Synthetic CDO equity : short or long correlation risk?
Jarrow, Robert A.
;
Deventer, Donald R. van
- In:
The journal of fixed income
17
(
2007
)
4
,
pp. 31-41
Persistent link: https://www.econbiz.de/10003729808
Saved in:
10
Futures contract collateralization and its implications
Jarrow, Robert A.
;
Kwok, Simon Sai Man
- In:
Journal of empirical finance
74
(
2023
),
pp. 1-25
Persistent link: https://www.econbiz.de/10014477096
Saved in:
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