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Integriertes Markt- und Kreditrisikomodell für Firmenkunden
Puhr, Rainer - In: Value Day 2011 : aktuelle Entwicklungen in Controlling …, (pp. 131-140). 2011
Persistent link: https://www.econbiz.de/10008905368
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Analytischer Hintergrund und Methodologie europäischer Bankratings
Theodore, Samuel S. - In: Bankrisikomanagement : Mindestanforderungen, …, (pp. 127-162). 2008
Persistent link: https://www.econbiz.de/10003710689
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Liquidity risk in credit default swap markets
Junge, Benjamin; Trolle, Anders B. - In: Essays on the market structure and pricing of credit …, (pp. 1-33, 105-123). 2016
The first chapter, which is joint work with Anders B. Trolle, analyzes whether liquidity risk is priced in the cross section of returns on credit default swaps (CDSs). The analysis is based on a factor pricing model and a tradable liquidity factor that is constructed from returns on index...
Persistent link: https://www.econbiz.de/10011903311
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Forecasting credit default swap premiums with Google search volume
Bethke, Sebastian - In: Essays on the determinants of corporate bond yield spreads, (pp. 52-85). 2016
Persistent link: https://www.econbiz.de/10011733592
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Comparative study on minimizing the risk of options for hedge ratio model of futures
Wenhui, Luo - In: Quantitative financial risk management, (pp. 29-38). 2011
Persistent link: https://www.econbiz.de/10009301455
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Anmerkungen zur Mittelungsproblematik historischer Marktrisikoprämien
Knoll, Leonhard - In: Unternehmensbewertung : theoretische Grundlagen - …, (pp. 325-343). 2010
Persistent link: https://www.econbiz.de/10009127499
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When to use currency swaps : determining the expected profit and variance
Coppes, Robert Christopher - In: Financial modelling : recent research ; [selection of …, (pp. 334-353). 1994
Persistent link: https://www.econbiz.de/10001285714
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Portfolio diversification in the sovereign credit swap markets
Consiglio, Andrea; Lotfi, Somayyeh; Zenios, Stauros Andrea - In: Analytical models for financial modeling and risk management, (pp. 5-33). 2018
Persistent link: https://www.econbiz.de/10011897156
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The global liquidity safety net : precautionary facilities and central bank swaps
Henning, C. Randall - In: Global financial governance confronts the rising powers …, (pp. 119-150). 2016
Persistent link: https://www.econbiz.de/10011490692
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The implications of cross-border banking and foreign-currency swap lines for the international monetary system
Már Guđmundsson - In: In the wake of the crisis : leading economists reassess …, (pp. 191-197). 2012
Persistent link: https://www.econbiz.de/10009618621