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Choroś, Barbara; Härdle, Wolfgang; Okhrin, Ostap - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2009

Modeling the portfolio credit risk is one of the crucial issues of the last yearsin the financial problems. We propose the valuation model of Collateralized DebtObligations based on a one- and two-parameter copula and default intensities estimatedfrom market data. The presented method is used to...

Persistent link: https://www.econbiz.de/10005865449

Accounting for financial instruments

Butler, Cormac - 2009

Persistent link: https://www.econbiz.de/10003770387

Derivate und interne Modelle : modernes Risikomanagement

Deutsch, Hans-Peter - 2004 - 3., überarb. und erw. Aufl.

Persistent link: https://www.econbiz.de/10001763455

Derivate und interne Modelle : modernes Risikomanagement

Deutsch, Hans-Peter - 2001 - 2., überarb. und erw. Aufl.

Persistent link: https://www.econbiz.de/10001559427

Absicherungsstrategien zur Minimierung des Verlustrisikos

Leukert, Peter - 1999

Persistent link: https://www.econbiz.de/10001486428

4000 Derivatives and internal models : modern risk management

Deutsch, Hans-Peter; Beinker, Mark - 2019 - Fifth edition

-- 12. Hedging -- 13. Martingales and Numeraires -- 14. Interest Rates and Term Structure Models -- 15. Simple Interest Rate … Products -- 16. FX Derivatives -- 17. Variants of Fixed Income Instruments -- 18. Plain Vanilla Options -- 19. Exotic Options … finance book has been comprehensively reviewed. New chapters/content cover multicurve bootstrapping, the valuation and hedging …