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A Simple Credit Risk Model wit...
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ECONIS (ZBW)
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1
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
Saved in:
2
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
Saved in:
3
Initial margin estimations for credit default
swap
portfolios
Ivanov, Stanislav
- In:
The journal of financial market infrastructures
5
(
2017
)
4
,
pp. 22-49
Persistent link: https://www.econbiz.de/10011729219
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4
Hedging systematic risk in high yield portfolios with a synthetic overlay : a comparative analysis of equity instruments vs. credit default swaps
Dor, Arik Ben
;
Guan, Jingling
- In:
The journal of fixed income
26
(
2017
)
4
,
pp. 5-24
Persistent link: https://www.econbiz.de/10011684756
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5
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
Saved in:
6
Application of copula-GARCH to estimate VaR of a portfolio with credit default swaps
Huang, Jhe-Jheng
;
So, Leh-Chyan
- In:
Journal of mathematical finance
8
(
2018
)
2
,
pp. 382-407
Persistent link: https://www.econbiz.de/10011874816
Saved in:
7
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:
8
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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9
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
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10
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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