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~type_genre:"Aufsatz in Zeitschrift"
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Saunders, David M.
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8
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Journal of risk management in financial institutions
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Insurance / Mathematics & economics
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Journal of banking & finance
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North American actuarial journal
2
Scandinavian actuarial journal
2
The journal of credit risk : published quarterly by Incisive Media
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ECONIS (ZBW)
34
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1
Analytical methods for hedging systematic credit risk with linear factor portfolios
Rosen, Dan
;
Saunders, David M.
- In:
Journal of economic dynamics & control
33
(
2009
)
1
,
pp. 37-52
Persistent link: https://www.econbiz.de/10003810124
Saved in:
2
Pricing and hedging collateralized loan obligations with implied factor models
Nedeljkovic, Jovan
;
Rosen, Dan
;
Saunders, David M.
- In:
The journal of credit risk : published quarterly by …
6
(
2010/11
)
3
,
pp. 53-97
Persistent link: https://www.econbiz.de/10008696417
Saved in:
3
Risk factor contributions in portfolio credit risk models
Rosen, Dan
;
Saunders, David M.
- In:
Journal of banking & finance
34
(
2010
)
2
,
pp. 336-349
Persistent link: https://www.econbiz.de/10003935602
Saved in:
4
Effective modeling of wrong way risk, counterparty credit risk capital, and alpha in Basel II
Cespedes, Juan Carlos Garcia
;
Herrero, Juan Antonio de Juan
- In:
The journal of risk model validation
4
(
2010/11
)
1
,
pp. 71-98
Persistent link: https://www.econbiz.de/10003971978
Saved in:
5
CVA the wrong way
Rosen, Dan
;
Saunders, David M.
- In:
Journal of risk management in financial institutions
5
(
2011/12
)
3
,
pp. 252-272
Persistent link: https://www.econbiz.de/10009565851
Saved in:
6
Pricing counterparty risk at the trade level and credit valuation adjustment allocations
Pykhtin, Michael
;
Rosen, Dan
- In:
The journal of credit risk : published quarterly by …
6
(
2010/11
)
4
,
pp. 3-38
Persistent link: https://www.econbiz.de/10008807742
Saved in:
7
Marginal rates and two-dimensional level curves in DEA
Rosen, Dan
- In:
Journal of productivity analysis
9
(
1998
)
3
,
pp. 205-232
Persistent link: https://www.econbiz.de/10001239430
Saved in:
8
Regress under stress : a simple least-squares method for integrating economic scenarios with risk simulations
Rosen, Dan
;
Sounders, David
- In:
Journal of risk management in financial institutions
9
(
2016
)
4
,
pp. 391-412
Persistent link: https://www.econbiz.de/10011663120
Saved in:
9
Market-consistent valuation and funding of cash balance pensions
Hardy, Mary Rosalyn
;
Saunders, David M.
;
Zhu, Xiaobai
- In:
North American actuarial journal
18
(
2014
)
2
,
pp. 294-314
Persistent link: https://www.econbiz.de/10011339005
Saved in:
10
A Fund of Hedge Funds Under Regime Switching
Saunders, David M.
;
Seco, Luis
;
Vogt, Christopher
; …
- In:
The journal of alternative investments
15
(
2012/13
)
4
,
pp. 8-23
Persistent link: https://www.econbiz.de/10009745288
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