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~subject:"Credit derivative"
~subject:"EVT"
~subject:"Value-at-Risk"
~subject:"credit risk"
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Credit Default Swaps as Hedgin...
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Credit derivative
EVT
Value-at-Risk
credit risk
Risikomaß
7,521
Risk measure
7,499
Theorie
4,458
Theory
4,418
Kreditderivat
3,366
Portfolio-Management
2,973
Portfolio selection
2,960
Credit risk
2,484
Kreditrisiko
2,466
Risk management
2,436
Risikomanagement
2,429
Risk
2,215
Risiko
2,206
Schätzung
1,488
Estimation
1,474
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1,256
Volatilität
1,249
Messung
1,210
Statistische Verteilung
1,204
Statistical distribution
1,197
Measurement
1,190
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1,189
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1,178
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1,132
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1,126
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1,109
Finanzkrise
1,097
Prognoseverfahren
1,003
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1,000
Kapitaleinkommen
947
Capital income
944
Multivariate Verteilung
878
Multivariate distribution
878
Risikoprämie
779
Risk premium
775
Derivative
702
Derivat
701
Bank risk
674
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1,920
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3
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Tang, Dragon Yongjun
35
McAleer, Michael
31
Scheicher, Martin
31
Chang, Chia-Lin
24
Gündüz, Yalın
24
Augustin, Patrick
23
Subrahmanyam, Marti G.
23
Lee, Jongsub
22
Zhang, Gaiyan
22
Zhong, Zhaodong
22
Hammoudeh, Shawkat
21
Mayordomo, Sergio
21
Zhou, Hao
21
Zhu, Haibin
20
Calice, Giovanni
19
Fabozzi, Frank J.
19
Peltonen, Tuomo
19
Wang, Xinjie
19
Gerlach, Richard
17
Wang, Sarah Qian
17
Härdle, Wolfgang
16
Kiesel, Florian
16
Vuillemey, Guillaume
16
Aizenman, Joshua
15
Brigo, Damiano
15
Schienle, Melanie
15
Schiereck, Dirk
15
Urban, Jörg
15
Bolton, Patrick
14
Byström, Hans N. E.
14
Daníelsson, Jón
14
Hasan, Iftekhar
14
Ongena, Steven
14
Wang, Ruodu
14
Acharya, Viral V.
13
Cathcart, Lara
13
Gex, Mathieu
13
Gilchrist, Simon
13
Lin, Ming-Tsung
13
Naranjo, Andy
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26
HAL
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12
Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
11
Business School, University of Sydney
8
Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
7
Tinbergen Institute
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EconWPA
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Center for Financial Studies
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Department of Economics and Finance, College of Business and Economics
5
International Monetary Fund (IMF)
5
Society for Computational Economics - SCE
5
Sveriges Riksbank
5
Europäische Zentralbank / Advisory Group on Market Infrastructures for Securities and Collateral
4
Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid
4
Institute of Economic Research, Kyoto University
4
Université Paris-Dauphine (Paris IX)
4
Centre de Recherche en Économie et Statistique (CREST), Groupe des Écoles Nationales d'Économie et Statistique (GENES)
3
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Duale Hochschule Baden-Württemberg Stuttgart
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Laboratoire d'Économie d'Orléans (LEO), Faculté de droit, d'économie et de gestion
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Springer Fachmedien Wiesbaden
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Verlag Dr. Kovač
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de Nederlandsche Bank
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Banca d'Italia
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Basel Committee on Banking Supervision
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Center for Advanced Research in Finance and Banking (CARFIB), Academia de Studii Economice din Bucureşti
2
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2
Departamento de Economía, Universidad Carlos III de Madrid
2
Department of Agribusiness and Applied Economics, North Dakota State University
2
Deutsche Bundesbank
2
Fachbereich Rechts- und Wirtschaftswissenschaften, Technische Universität Darmstadt
2
Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
2
Faculty of Economics, University of Cambridge
2
Finance Discipline Group, Business School
2
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Journal of banking & finance
78
The journal of structured finance
51
Finance research letters
43
International review of financial analysis
43
The journal of fixed income
40
Journal of financial stability
39
Journal of international financial markets, institutions & money
36
The journal of credit risk : published quarterly by Incisive Media
35
Discussion paper / Tinbergen Institute
32
Insurance / Mathematics & economics
32
International journal of theoretical and applied finance
32
Journal of financial economics
30
NBER working paper series
30
The North American journal of economics and finance : a journal of financial economics studies
30
Economic modelling
28
Journal of empirical finance
28
Journal of international money and finance
28
Research paper series / Swiss Finance Institute
28
MPRA Paper
26
NBER Working Paper
26
The journal of futures markets
26
The review of financial studies
26
Working paper / National Bureau of Economic Research, Inc.
26
International review of economics & finance : IREF
24
IMF working papers
22
Applied economics
21
Research in international business and finance
21
Discussion paper / Centre for Economic Policy Research
20
Management science : journal of the Institute for Operations Research and the Management Sciences
20
Review of quantitative finance and accounting
19
Tinbergen Institute Discussion Paper
19
Tinbergen Institute Discussion Papers
19
Journal of financial and quantitative analysis : JFQA
18
Working paper series / European Central Bank
18
Discussion paper
17
Review of finance : journal of the European Finance Association
17
Swiss Finance Institute Research Paper
17
The European journal of finance
17
The journal of derivatives : the official publication of the International Association of Financial Engineers
17
Economics letters
16
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Source
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ECONIS (ZBW)
3,731
RePEc
389
EconStor
93
BASE
15
Other ZBW resources
7
Showing
1
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10
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4,235
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date (newest first)
date (oldest first)
1
Pricing CDS spreads with Credit Valuation Adjustment using a mixture
copula
Harb, Etienne
;
Louhichi, Wael
- In:
Research in international business and finance
39
(
2017
),
pp. 963-975
Persistent link: https://www.econbiz.de/10011912420
Saved in:
2
Dependence in credit default swap and equity markets : dynamic
copula
with Markov-switching
Fei, Fei
;
Fuertes, Ana María
;
Kalotychou, Elena
- In:
International journal of forecasting
33
(
2017
)
3
,
pp. 662-678
Persistent link: https://www.econbiz.de/10011746197
Saved in:
3
A
copula
-based systemic risk measure : application to investment-grade and high-yield CDS portfolios
Choi, So Eun
;
Jang, Hyun Jin
;
Choe, Geon Ho
- In:
Applied economics letters
27
(
2020
)
15
,
pp. 1264-1271
Persistent link: https://www.econbiz.de/10012267120
Saved in:
4
Application of
copula
-GARCH to estimate VaR of a portfolio with credit default swaps
Huang, Jhe-Jheng
;
So, Leh-Chyan
- In:
Journal of mathematical finance
8
(
2018
)
2
,
pp. 382-407
Persistent link: https://www.econbiz.de/10011874816
Saved in:
5
Liquidity tail risk and credit default swap spreads
Irresberger, Felix
;
Weiß, Gregor
;
Gabrysch, Janet
; …
- In:
European journal of operational research : EJOR
269
(
2018
)
3
,
pp. 1137-1153
Persistent link: https://www.econbiz.de/10011866884
Saved in:
6
Copula
-MGARCH with continuous covariance decomposition
Herwartz, Helmut
;
Raters, Fabian H. C.
- In:
Economics letters
133
(
2015
),
pp. 73-76
Persistent link: https://www.econbiz.de/10011431988
Saved in:
7
Forecasting portfolio-Value-at-Risk with nonparametric lower tail dependence estimates
Siburg, Karl Friedrich
;
Stoimenov, Pavel
;
Weiß, Gregor
- In:
Journal of banking & finance
54
(
2015
),
pp. 129-140
Persistent link: https://www.econbiz.de/10011377805
Saved in:
8
Is Bitcoin a better portfolio diversifier than gold? : a
copula
and sectoral analysis for China
Pho, Kim-Hung
;
Ly, Sel
;
Lu, Richard
;
Hoang, Thi Hong Van
; …
- In:
International review of financial analysis
74
(
2021
),
pp. 1-30
Persistent link: https://www.econbiz.de/10012803931
Saved in:
9
Dependency between risks and the insurer's economic capital : a
copula
-based GARCH model
Shim, Jeungbo
;
Lee, Seung-Hwan
- In:
Asia-Pacific journal of risk and insurance : APJRI
11
(
2017
)
1
,
pp. 1-29
Persistent link: https://www.econbiz.de/10011671161
Saved in:
10
Estimating expected and unexpected losses for agricultural mortgage portfolios
Dressler, Jonathan B.
;
Tauer, Loren W.
- In:
American journal of agricultural economics
98
(
2016
)
5
,
pp. 1470-1485
Persistent link: https://www.econbiz.de/10011635556
Saved in:
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