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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

Valuation, hedging, and bounds of swaps under multi-factor BNS-type stochastic volatility models

Issaka, Aziz - In: Annals of financial economics 15 (2020) 2, pp. 1-28

Persistent link: https://www.econbiz.de/10012642967

Bank lending and interest-rate derivatives

Zhao, Fang; Moser, James T. - In: International journal of financial research 8 (2017) 4, pp. 23-37

Persistent link: https://www.econbiz.de/10011781357

Intervention strategies in foreign exchange market

Martin, Vesna - In: Ekonomske teme 58 (2020) 3, pp. 381-399

The goal of the paper is to present the intervention strategies used by central banks in order to influence the value of the domestic currency, transparency versus discretion when it comes to publishing data about FX intervention and the cost and effectiveness of intervention. It is rarely that...

Persistent link: https://www.econbiz.de/10012522647

Swaps

Neftci, Salih N. - In: The professional risk managers' guide to financial …, (pp. 121-141). 2008

Persistent link: https://www.econbiz.de/10003677864

A Mellin transform approach to the pricing of options with default risk

Choi, Sun-Yong; Sotheara Veng; Kim, Jeong-Hoon; Yoon, Ji-Hun - In: Computational economics 59 (2022) 3, pp. 1113-1134

Persistent link: https://www.econbiz.de/10013169229

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

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

Interaction of market and credit risk : an analysis of inter-risk correlation and risk aggregation

Böcker, Klaus; Hillebrand, Martin - In: Journal of risk 11 (2008/09) 4, pp. 3-29

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Prüfung der Umsetzung der SolvV durch die Innenrevision

Schiwietz, Michael - In: Solvabilitätsverordnung : Ansätze für die Prüfung …, (pp. 31-220). 2009

Persistent link: https://www.econbiz.de/10003868908

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