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A spread-return mean-reverting model for credit spread dynamics
O'Donoghue, Brendan; Peacock, Matthew; Lee, Jacky; … - In: International journal of theoretical and applied finance 17 (2014) 3, pp. 1-14
Persistent link: https://www.econbiz.de/10010364761
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The credit risk components of a swap portfolio
Hübner, Georges - In: The journal of futures markets 24 (2004) 1, pp. 93-115
Persistent link: https://www.econbiz.de/10001850816
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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
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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
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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
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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
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The role of Asian Credit Default Swap index in portfolio risk management
Liu, Jianxu; Chatchai Khiewngamdee; Songsak Sriboonchitta - In: Robustness in econometrics, (pp. 435-447). 2017
Persistent link: https://www.econbiz.de/10011801781
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A robust decision support approach to portfolio risk reduction based on credit default swap
Wu, Dexiang; Wu, Desheng Dash - In: The journal of fixed income 27 (2018) 3, pp. 86-95
Persistent link: https://www.econbiz.de/10011803854
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Mutual Fund Holdings of Credit Default Swaps : Liquidity Management and Risk Taking
Zhu, Zhongyan - 2016
Using a comprehensive dataset of mutual funds' quarterly holdings of credit default swap (CDS) contracts during 2007 …
Persistent link: https://www.econbiz.de/10012998315
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Worst-Case-Analysen des Ausfallrisikos von Finanzderivaten unter Berücksichtigung von Markteinflüssen
Barth, Jörn - 2000
Persistent link: https://www.econbiz.de/10013432848