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~person:"Jarrow, Robert A."
~person:"Kanno, Masayasu"
~person:"Lucas, André"
~subject:"Credit risk"
~type_genre:"Aufsatz in Zeitschrift"
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Credit risk
Kreditrisiko
48
Theorie
22
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22
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9
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9
Portfolio selection
9
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9
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Article
48
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Aufsatz in Zeitschrift
Article in journal
48
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43
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43
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40
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40
Aufsatz im Buch
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English
48
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Jarrow, Robert A.
Kanno, Masayasu
Lucas, André
Rösch, Daniel
36
Altman, Edward I.
27
Scheule, Harald
26
Ongena, Steven
23
Capponi, Agostino
20
Crook, Jonathan N.
20
Schulte-Mattler, Hermann
20
Wang, Xingchun
20
Fabozzi, Frank J.
19
Gouriéroux, Christian
19
Ghosh, Saibal
17
Jacobs, Michael <Jr.>
17
Norden, Lars
16
Saunders, Anthony
16
Andreeva, Galina
15
Brigo, Damiano
15
Chi, Guotai
15
Hasan, Iftekhar
15
Thomas, Lyn C.
15
Wu, Chunchi
15
Acharya, Viral V.
14
Mayordomo, Sergio
14
Van Vuuren, Gary
14
Monfort, Alain
13
Turnbull, Stuart M.
13
Goodman, Laurie Sharon
12
Mues, Christophe
12
Schuermann, Til
12
Tang, Dragon Yongjun
12
Barisitz, Stephan
11
Das, Sanjiv R.
11
Dorfleitner, Gregor
11
Giesecke, Kay
11
Gürtler, Marc
11
Kupiec, Paul H.
11
Parnes, Dror
11
Saurina, Jesús
11
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Journal of banking & finance
6
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
3
The journal of fixed income
3
Journal of applied econometrics
2
Journal of empirical finance
2
Journal of financial engineering
2
Mathematical finance : an international journal of mathematics, statistics and financial theory
2
Research in international business and finance
2
Review of derivatives research
2
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1
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1
Asia-Pacific journal of risk and insurance : APJRI
1
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1
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1
International journal of forecasting
1
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1
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1
Japan and the world economy : international journal of theory and policy
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1
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1
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1
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1
Journal of risk finance : the convergence of financial products and insurance
1
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1
Mathematics of operations research
1
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1
The North American journal of economics and finance : a journal of financial economics studies
1
The journal of derivatives : the official publication of the International Association of Financial Engineers
1
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
1
The review of economics and statistics
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ECONIS (ZBW)
48
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1
Valuing default swaps under market and credit risk correlation
Jarrow, Robert A.
;
Yildirim, Yildiray
- In:
The journal of fixed income
11
(
2001
)
4
,
pp. 7-19
Persistent link: https://www.econbiz.de/10001701698
Saved in:
2
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:
3
Quantile forecasting for credit risk management using possibly misspecified hidden Markov models
Banachewicz, Konrad
;
Lucas, André
- In:
Journal of forecasting
27
(
2008
)
7
,
pp. 566-586
Persistent link: https://www.econbiz.de/10003779594
Saved in:
4
The subprime credit crisis of 2007
Crouhy, Michel
;
Jarrow, Robert A.
;
Turnbull, Stuart M.
- In:
The journal of derivatives : the official publication …
16
(
2008/09
)
1
,
pp. 81-110
Persistent link: https://www.econbiz.de/10003771466
Saved in:
5
A non-Gaussian panel time series model for estimating and decomposing default risk
Koopman, Siem Jan
;
Lucas, André
- In:
Journal of business & economic statistics : JBES ; a …
26
(
2008
)
4
,
pp. 510-525
Persistent link: https://www.econbiz.de/10003772293
Saved in:
6
Discrete versus continuous state switching models for portfolio credit risk
Lucas, André
;
Klaassen, Pieter
- In:
Journal of banking & finance
30
(
2006
)
1
,
pp. 23-35
Persistent link: https://www.econbiz.de/10003285592
Saved in:
7
Distressed debt prices and recovery rate estimation
Guo, Xin
;
Jarrow, Robert A.
;
Lin, Haizhi
- In:
Review of derivatives research
11
(
2008
)
3
,
pp. 171-204
Persistent link: https://www.econbiz.de/10003835030
Saved in:
8
Modeling the recovery rate in a reduced form model
Guo, Xin
;
Jarrow, Robert A.
;
Zeng, Yan
- In:
Mathematical finance : an international journal of …
19
(
2009
)
1
,
pp. 73-97
Persistent link: https://www.econbiz.de/10003818346
Saved in:
9
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:
10
Information reduction via level crossings in a credit risk model
Jarrow, Robert A.
;
Protter, Philip E.
;
Sezer, A. Deniz
- In:
Finance and stochastics
11
(
2007
)
2
,
pp. 195-212
Persistent link: https://www.econbiz.de/10003439757
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