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~subject:"EVT"
~subject:"Value-at-Risk"
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Credit Default Swaps as Hedgin...
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Credit risk
EVT
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credit risk
Risikomaß
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947
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782
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17
Scheicher, Martin
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Lee, Jongsub
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Zhang, Gaiyan
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Department of Economics and Finance, College of Business and Economics
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Basel Committee on Banking Supervision
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Institut d'Économie Appliquée, HEC Montréal (École des Hautes Études Commerciales)
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Journal of banking & finance
75
The journal of credit risk : published quarterly by Incisive Media
42
Insurance / Mathematics & economics
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Finance research letters
34
International journal of theoretical and applied finance
34
Journal of international financial markets, institutions & money
34
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Journal of financial stability
32
IMF Working Papers
30
International review of financial analysis
30
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The journal of fixed income
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MPRA Paper
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The North American journal of economics and finance : a journal of financial economics studies
25
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24
Journal of empirical finance
23
Journal of financial economics
22
Risks : open access journal
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Journal of risk
20
Management science : journal of the Institute for Operations Research and the Management Sciences
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The European journal of finance
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Tinbergen Institute Discussion Paper
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Tinbergen Institute Discussion Papers
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European journal of operational research : EJOR
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Research in international business and finance
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Review of quantitative finance and accounting
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International review of economics & finance : IREF
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The journal of futures markets
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Journal of international money and finance
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Journal of risk management in financial institutions
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Journal of risk and financial management : JRFM
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The journal of risk model validation
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Journal of Banking & Finance
14
Economics letters
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Finance and economics discussion series
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European financial management : the journal of the European Financial Management Association
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ECONIS (ZBW)
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RePEc
438
EconStor
93
BASE
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Other ZBW resources
8
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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
Stress testing bank insolvency risk by systemic equity market shock : an expected shortfall approach
Yang, Hank Z.
- In:
Journal of risk management in financial institutions
16
(
2022/2023
)
3
,
pp. 211-227
Persistent link: https://www.econbiz.de/10014320203
Saved in:
7
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:
8
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:
9
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:
10
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:
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