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A Simple Credit Risk Model wit...
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Derivat
Portfolio selection
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Fabozzi, Frank J.
36
Brigo, Damiano
18
Capponi, Agostino
13
Crépey, Stéphane
13
Platen, Eckhard
13
Bruns, Christoph
12
Leung, Tim
12
Wang, Xingchun
12
Pallavicini, Andrea
11
Bielecki, Tomasz R.
10
Broll, Udo
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Jarrow, Robert A.
10
Kolb, Robert W.
10
Acharya, Viral V.
9
Bloss, Michael
9
Härdle, Wolfgang
9
Kane, Alex
9
Lee, Cheng F.
9
Rudolph, Bernd
9
Welzel, Peter
9
Bodie, Zvi
8
Calice, Giovanni
8
Choudhry, Moorad
8
Lipton, Alexander
8
Mayordomo, Sergio
8
Wagner, Wolf
8
Cont, Rama
7
Engle, Robert F.
7
Gong, Feixue
7
Gouriéroux, Christian
7
Gündüz, Yalın
7
Lee, Alice C.
7
McAleer, Michael
7
O'Kane, Dominic
7
Perrakis, Stylianos
7
Phelan, Gregory
7
Rutkowski, Marek
7
Schönbucher, Philipp J.
7
Stulz, René M.
7
Zagst, Rudi
7
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Universität Augsburg / Institut für Volkswirtschaftslehre
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Bank für Internationalen Zahlungsausgleich
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Basel Committee on Banking Supervision
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Conference Innovations in Derivatives Markets - Fixed Income Modelling, Valuation Adjustments, Risk Management, and Regulation <2015, Garching-Hochbrück>
2
De Gruyter Oldenbourg
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Frank J. Fabozzi Associates <New Hope, Pa.>
2
International Accounting Standards Board
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International Association of Insurance Supervisors
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International Organization of Securities Commissions
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Conference Entitled Institutional Investors, Risk-Return, and Corporate Governance Failures: Practical Lessons from the Global Financial Crisis <2009, Moraga, Calif.>
1
Conference Housing and the Built Environment: Access, Finance, Policy <2007, Cambridge, Mass.>
1
Development Center for Finance <Quezon>
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Eberhard Karls Universität Tübingen
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F.A.Z.-Institut für Management-, Markt- und Medieninformationen
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International Conference on Financial Derivatives
1
International Securities Market Association
1
International Workshop on Financial Engineering <2009, Tokio>
1
Judge Institute of Management Studies
1
KPMG Peat Marwick <Mailand>
1
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International journal of theoretical and applied finance
64
Journal of banking & finance
49
The journal of futures markets
27
The journal of fixed income
23
European journal of operational research : EJOR
21
Review of derivatives research
21
The journal of credit risk : published quarterly by Incisive Media
20
Journal of financial economics
18
The North American journal of economics and finance : a journal of financial economics studies
18
Applied mathematical finance
17
International review of financial analysis
17
SpringerLink / Bücher
17
Finance and stochastics
16
Quantitative finance
16
The journal of computational finance
16
Journal of economic dynamics & control
15
Mathematical finance : an international journal of mathematics, statistics and financial theory
15
The European journal of finance
15
Finance and economics discussion series
14
Finance research letters
14
International review of economics & finance : IREF
14
Energy economics
13
Journal of risk management in financial institutions
13
The journal of derivatives : the official publication of the International Association of Financial Engineers
13
Wiley finance
12
Wiley finance series
12
International journal of financial engineering
11
Journal of mathematical finance
11
NBER working paper series
11
The journal of financial market infrastructures
11
NBER Working Paper
10
The journal of derivatives : JOD
10
Advances in futures and options research : a research annual
9
Bank- und finanzwirtschaftliche Forschungen
9
Economic modelling
9
Gabler Edition Wissenschaft
9
Journal of empirical finance
9
Journal of financial and quantitative analysis : JFQA
9
Management science : journal of the Institute for Operations Research and the Management Sciences
9
Risks : open access journal
9
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ECONIS (ZBW)
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EconStor
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1
Portfolio margining of cleared credit default swaps
Philipp, Michael M.
;
Sandoval, Ignacio A.
- In:
The journal of investment compliance
14
(
2013
)
2
,
pp. 32-41
Persistent link: https://www.econbiz.de/10009774464
Saved in:
2
Portfolio diversification in the sovereign credit
swap
markets
Consiglio, Andrea
;
Lotfi, Somayyeh
;
Zenios, Stauros Andrea
-
2016
Persistent link: https://www.econbiz.de/10011539351
Saved in:
3
Worst-Case Analysen des Ausfallrisikos eines Portfolios aus marktabhängigen Finanzderivaten
Barth, Jörn
- In:
Kreditrisikomanagement : Kernbereiche, Aufsicht und …
,
(pp. 115-156)
.
2002
Persistent link: https://www.econbiz.de/10001720335
Saved in:
4
Worst-Case Analysen des Ausfallrisikos eines Portfolios aus marktabhängigen Finanzderivaten
Barth, Jörn
- In:
Kreditrisikomanagement : Portfoliomodelle und Derivate
,
(pp. 107-148)
.
2000
Persistent link: https://www.econbiz.de/10001491336
Saved in:
5
Uncovering the mesoscale structure of the credit default
swap
market to improve portfolio risk modelling
Anagnostou, I.
;
Squartini, T.
;
Kandhai, D.
;
Garlaschelli, D.
- In:
Quantitative finance
21
(
2021
)
9
,
pp. 1501-1518
Persistent link: https://www.econbiz.de/10012624151
Saved in:
6
Capital market finance : an introduction to primitive assets, derivatives, portfolio management and risk
Poncet, Patrice
;
Portait, Roland
;
Toder, Igor
-
2022
Persistent link: https://www.econbiz.de/10012628654
Saved in:
7
A derivatives pricing model with non-cash collateralization
Takino, Kazuhiro
- In:
The journal of derivatives : JOD
29
(
2021
)
1
,
pp. 123-138
Persistent link: https://www.econbiz.de/10012612946
Saved in:
8
Credit volatility indexes
Mele, Antonio
;
Obayashi, Yoshiki
-
2020
-
This version: October 19, 2020
Persistent link: https://www.econbiz.de/10012419450
Saved in:
9
Hedging systematic risk in high yield portfolios with a synthetic overlay : a comparative analysis of equity instruments vs. credit default swaps
Dor, Arik Ben
;
Guan, Jingling
- In:
The journal of fixed income
26
(
2017
)
4
,
pp. 5-24
Persistent link: https://www.econbiz.de/10011684756
Saved in:
10
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
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