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A Simple Credit Risk Model wit...
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Yang, Zhaojun
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Brigo, Damiano
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Burgess, Nicholas
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Park, Donghyun
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Pelsser, Antoon André Jean
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Syrstad, Olav
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Azad, A. S. M. Sohel
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Batten, Jonathan A.
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Bordo, Michael D.
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Cossin, Didier
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French, Jack
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Norden, Lars
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Zheng, Wendong
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International journal of theoretical and applied finance
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The journal of derivatives : the official publication of the International Association of Financial Engineers
29
Journal of banking & finance
26
NBER working paper series
24
The journal of fixed income
24
Applied mathematical finance
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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Finance research letters
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International review of economics & finance : IREF
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Review of derivatives research
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Finance and stochastics
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Applied economics
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Journal of international money and finance
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10
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The North American journal of economics and finance : a journal of financial economics studies
10
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10
Discussion paper / Centre for Economic Policy Research
9
Economics letters
9
International journal of financial engineering
9
Journal of financial services research : JFSR
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Swiss Finance Institute Research Paper
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ECONIS (ZBW)
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EconStor
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RePEc
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Other ZBW resources
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date (oldest first)
1
Evaluating the credit exposure of interest rate
swap
portfolios
Wall, Larry D.
;
Fung, Kwun-wing
-
1987
-
Rev
Persistent link: https://www.econbiz.de/10000825958
Saved in:
2
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
Saved in:
3
The stability of the banking sector and credit default swaps
Heyde, Frank
;
Neyer, Ulrike
-
2007
Persistent link: https://www.econbiz.de/10003379298
Saved in:
4
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:
5
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
Saved in:
6
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:
7
Essays on credit risk, interest rate risk and macroeconomic risk
Hou, Yuanfeng
-
2003
Persistent link: https://www.econbiz.de/10003628359
Saved in:
8
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
Saved in:
9
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:
10
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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