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Capponi, Agostino
Ongena, Steven
158
Peydró, José-Luis
86
Lucas, André
79
Altman, Edward I.
77
Acharya, Viral V.
75
Gambacorta, Leonardo
75
Hasan, Iftekhar
67
Rösch, Daniel
62
Koopman, Siem Jan
60
Saunders, Anthony
58
Agarwal, Sumit
56
Schuermann, Til
55
Berger, Allen N.
49
Caporale, Guglielmo Maria
48
Jiménez, Gabriel
48
Degryse, Hans
47
Jokivuolle, Esa
47
Krahnen, Jan Pieter
46
Scheule, Harald
44
Laeven, Luc
43
Norden, Lars
43
Giesecke, Kay
42
Böhme, Hans
41
Memmel, Christoph
41
Saurina, Jesús
41
Schwaab, Bernd
41
Brigo, Damiano
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Fabozzi, Frank J.
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Gilchrist, Simon
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Hamerle, Alfred
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39
Schmieder, Christian
39
Tang, Dragon Yongjun
39
Dudley, William C.
38
Martin, Alberto
37
Monfort, Alain
37
Shin, Hyun Song
37
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36
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Mathematical finance : an international journal of mathematics, statistics and financial theory
5
Finance and stochastics
3
Mathematics of operations research
3
International journal of theoretical and applied finance
2
Management science : journal of the Institute for Operations Research and the Management Sciences
2
After the crash : financial crises and regulatory responses
1
FEDS Working Paper
1
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ECONIS (ZBW)
39
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1
Optimal
credit
investment with borrowing costs
Bo, Lijun
;
Capponi, Agostino
- In:
Mathematics of operations research
42
(
2017
)
2
,
pp. 546-575
Persistent link: https://www.econbiz.de/10011684545
Saved in:
2
Clearinghouse margin requirements
Capponi, Agostino
;
Cheng, W. Allen
- In:
Operations research
66
(
2018
)
6
,
pp. 1542-1558
Persistent link: https://www.econbiz.de/10011971659
Saved in:
3
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:
4
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:
5
Robust optimization of
credit
portfolios
Bo, Lijun
;
Capponi, Agostino
- In:
Mathematics of operations research
42
(
2017
)
1
,
pp. 30-56
Persistent link: https://www.econbiz.de/10011654555
Saved in:
6
Optimal
Credit
Investment with Borrowing Costs
Bo, Lijun
-
2016
rate, and invests in a risky bond whose market price is correlated with the
credit
quality of the investor. By viewing the …
Persistent link: https://www.econbiz.de/10012984463
Saved in:
7
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:
8
Counterparty risk for CDS : default clustering effects
Bo, Lijun
;
Capponi, Agostino
- In:
Journal of banking & finance
52
(
2015
),
pp. 29-42
Persistent link: https://www.econbiz.de/10011377294
Saved in:
9
Bilateral
credit
valuation adjustment for large
credit
derivatives portfolios
Bo, Lijun
;
Capponi, Agostino
- In:
Finance and stochastics
18
(
2014
)
2
,
pp. 431-482
Persistent link: https://www.econbiz.de/10010340674
Saved in:
10
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:
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