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~subject:"Derivative"
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Defaults and Returns in the Hi...
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Derivative
Credit risk
20,238
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credit risk
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10
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10
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Conference Innovations in Derivatives Markets - Fixed Income Modelling, Valuation Adjustments, Risk Management, and Regulation <2015, Garching-Hochbrück>
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International Organization of Securities Commissions
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1
Conference Housing and the Built Environment: Access, Finance, Policy <2007, Cambridge, Mass.>
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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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Federal Reserve Bank of Atlanta
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Federal Reserve System / Division of Research and Statistics
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Financial Markets Conference, Credit Derivatives: Where's the Risk? <2007, Atlanta, Ga.>
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1
Lincoln Institute of Land Policy
1
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
1
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International journal of theoretical and applied finance
40
Journal of banking & finance
32
The journal of credit risk : published quarterly by Incisive Media
20
The journal of fixed income
17
Review of derivatives research
13
Finance and economics discussion series
11
Journal of risk management in financial institutions
11
The North American journal of economics and finance : a journal of financial economics studies
11
The journal of computational finance
11
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10
The journal of financial market infrastructures
10
SpringerLink / Bücher
9
The journal of derivatives : the official publication of the International Association of Financial Engineers
9
The journal of futures markets
9
Credit derivatives : the definitive guide
8
European journal of operational research : EJOR
8
Finance research letters
8
Journal of financial intermediation
8
Quantitative finance
8
The credit derivatives handbook : global perspectives, innovations, and market drivers
8
Wiley finance
8
Applied mathematical finance
7
International review of economics & finance : IREF
7
International review of financial analysis
7
Journal of empirical finance
7
Journal of mathematical finance
7
Research paper series / Swiss Finance Institute
7
Discussion paper
6
Journal of international financial markets, institutions & money
6
Journal of securities operations & custody
6
Mathematical finance : an international journal of mathematics, statistics and financial theory
6
The European journal of finance
6
Working paper series
6
Applied economics letters
5
Asia-Pacific financial markets
5
CFS working paper series
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Finance and stochastics
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Gabler Edition Wissenschaft
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International journal of financial engineering
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ECONIS (ZBW)
1,248
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1
An asset protection scheme for banks exposed to troubled loan portfolios
Grosen, Anders
;
Jessen, Pernille
;
Kokholm, Thomas
- In:
Journal of economics and finance
38
(
2014
)
4
,
pp. 568-588
Persistent link: https://www.econbiz.de/10011333830
Saved in:
2
Time-varying credit risk discovery in the stock and CDS markets : evidence from quiet and crisis times
Forte, Santiago
;
Lovreta, Lidija
- In:
European financial management : the journal of the …
21
(
2015
)
3
,
pp. 430-461
Persistent link: https://www.econbiz.de/10011317998
Saved in:
3
Restructuring counterparty credit risk
Albanese, Claudio
;
Brigo, Damiano
;
Oertel, Frank
- In:
International journal of theoretical and applied finance
16
(
2013
)
2
,
pp. 1-29
Persistent link: https://www.econbiz.de/10009748714
Saved in:
4
Greek sovereign credit market dynamics : credit default swap and bond spreads' linkages
Tampakoudis, Ioannis A.
;
Subeniotis, Demetres N.
; …
- In:
International journal of trade and global markets
5
(
2012
)
3/4
,
pp. 268-280
Persistent link: https://www.econbiz.de/10009722093
Saved in:
5
First-exit times and their applications in default risk management
Hieber, Peter A.
-
2013
Over the last two decades, default rates and market risk have increased substantially. A consequence of the growing global interlacing is a strong dependence between both individual stock returns and credit events. Risk management (especially risk diversification) is much more challenging,...
Persistent link: https://www.econbiz.de/10010223150
Saved in:
6
Benchmark approach for defaultable claims under partial information
Raju, I. Venkat Appal
;
Selvaraju, N.
- In:
International journal of financial engineering and risk …
1
(
2013
)
2
,
pp. 170-192
Persistent link: https://www.econbiz.de/10010197913
Saved in:
7
Determinants of credit default swaps spreads in European and Asian markets
Hassan, M. Kabir
;
Ngow, Thiti S.
;
Yu, Jung-suk
;
Hassan, …
- In:
Journal of derivatives & hedge funds
19
(
2013
)
4
,
pp. 295-310
Persistent link: https://www.econbiz.de/10010259397
Saved in:
8
No-arbitrage pricing under systeme risk : accounting for cross-ownership
Fischer, Tom
- In:
Mathematical finance : an international journal of …
24
(
2014
)
1
,
pp. 97-124
Persistent link: https://www.econbiz.de/10010256220
Saved in:
9
Linear credit risk models
Ackerer, Damien
;
Filipović, Damir
-
2016
simultaneous
defaults
, generate positively as well as negatively correlated default intensities, and accommodate stochastic …
Persistent link: https://www.econbiz.de/10011516035
Saved in:
10
A tree Implementation of a credit spread model for credit derivatives
Schönbucher, Philipp J.
-
2000
-
This version June 1999
In this paper we present a tree model for defaultable bond prices which can be used for the pricing of credit derivatives. The model is based upon the two-factor Hull-White (1994) model for default-free interest rates, where one of the factors is taken to be the credit spread of the defaultable...
Persistent link: https://www.econbiz.de/10011538904
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