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A new approach for an integrated credit and market risk measurement of interest rate swap portfolios
Hatgioannides, John; Petropoulos, George - In: Journal / The Capco Institute : journal of financial … 25 (2009), pp. 107-112
Persistent link: https://www.econbiz.de/10003905883
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Optimal trading and tax option value of defaultable bonds with asymmetric capital gain taxes
Chen, Peter Huaiyu; Liu, Sheen X.; Wu, Chunchi - In: Advances in Pacific Basin business, economics, and finance 7 (2019), pp. 27-62
Persistent link: https://www.econbiz.de/10012582240
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Credit Risk und Value-at-Risk Alternativen : Herausforderungen für das Risk-Management
Oehler, Andreas (ed.) - 1998
Persistent link: https://www.econbiz.de/10000664860
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Applied quantitative finance
Härdle, Wolfgang (ed.); Chen, Cathy Yi-Hsuan (ed.);  … - 2017 - Third edition
Persistent link: https://www.econbiz.de/10011607343
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Market risk management in a post-Basel II regulatory environment
Drenovak, Mikica; Ranković, Vladimir; Ivanković, Miloš; … - In: European journal of operational research : EJOR 257 (2017) 3, pp. 1030-1044
Persistent link: https://www.econbiz.de/10011641392
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A multivariate approach for the simultaneous modelling of market risk and credit risk for cryptocurrencies
Fantazzini, Dean; Zimin, Stephan - In: Journal of industrial and business economics 47 (2020) 1, pp. 19-69
Persistent link: https://www.econbiz.de/10012237346
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Quantitative financial risk management
Wu, Desheng Dash (ed.) - 2011
Persistent link: https://www.econbiz.de/10009231475
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Portfolio selection with transaction costs under expected shortfall contraints
Breuer, Thomas; Jandačka, Martin - In: Computational Management Science : CMS 5 (2008) 4, pp. 305-316
Persistent link: https://www.econbiz.de/10003758293
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How well do classical credit risk pricing models fit swap transaction data?
Cossin, Didier - In: European financial management : the journal of the … 4 (1998) 1, pp. 65-77
Persistent link: https://www.econbiz.de/10001244082
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Optimal portfolios with credit default swaps
Ambrosini, Giuseppe; Menoncin, Francesco - In: Journal of financial services research : JFSR 54 (2018) 1, pp. 81-109
Persistent link: https://www.econbiz.de/10012024972