Similar Search Results

The economic foundations of risk management : theory, practice, and applications

Jarrow, Robert A. - 2017

Persistent link: https://www.econbiz.de/10011569703

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

What drives the short-term fluctuations of banks' exposure to interest rate risk?

Memmel, Christoph - 2019

We investigate whether banks actively manage their exposure to interest rate risk in the short run. Using bank-level data of German banks for the period 2011Q4- 2017Q2, we find evidence that banks actively manage their interest rate risk exposure in their banking books: They take account of...

Persistent link: https://www.econbiz.de/10011968696

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

Financial derivatives pricing : selected works of Robert Jarrow

Jarrow, Robert A. - 2008

Persistent link: https://www.econbiz.de/10003765886

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

Estimating default probabilities implicit in equity prices

Janosi, Tibor; Jarrow, Robert A.; Yildirim, Yildiray - In: The credit market handbook : advanced modeling issues, (pp. 1-38). 2006

Persistent link: https://www.econbiz.de/10003338037

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

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

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

1
2
3
4
5
6
7
8
9
Next
Last