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Copula dynamics in CDOs
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ECONIS (ZBW)
106
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1
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10
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106
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1
Valuation of collateralized debt obligations with hierarchical Archimedean copulae
Choroś-Tomczyk, Barbara
;
Härdle, Wolfgang
;
Okhrin, Ostap
- In:
Journal of empirical finance
24
(
2013
),
pp. 42-62
Persistent link: https://www.econbiz.de/10010371991
Saved in:
2
Dynamic systemic risk measures for bounded discrete timeprocesses
Kromer, Eduard
;
Overbeck, Ludger
;
Zilch, Kartrin
- In:
Mathematical methods of operations research
90
(
2019
)
1
,
pp. 77-108
Persistent link: https://www.econbiz.de/10012116625
Saved in:
3
Differentiability of BSVIEs and dynamic capital allocations
Kromer, Eduard
;
Overbeck, Ludger
- In:
International journal of theoretical and applied finance
20
(
2017
)
7
,
pp. 1-26
Persistent link: https://www.econbiz.de/10011763938
Saved in:
4
Representation of BSDE-based dynamic risk measures and dynamic capital allocations
Kromer, Eduard
;
Overbeck, Ludger
- In:
International journal of theoretical and applied finance
17
(
2014
)
5
,
pp. 1-16
Persistent link: https://www.econbiz.de/10010437199
Saved in:
5
Stochastic essentials for the risk management of credit portfolios
Overbeck, Ludger
;
Stahl, Gerhard
- In:
Kredit und Kapital
36
(
2003
)
1
,
pp. 52-81
Persistent link: https://www.econbiz.de/10001758774
Saved in:
6
Dynamic CDO term structure modeling
Filipović, Damir
;
Overbeck, Ludger
;
Schmidt, Thorsten
- In:
Mathematical finance : an international journal of …
21
(
2011
)
1
,
pp. 53-71
Persistent link: https://www.econbiz.de/10008935703
Saved in:
7
Suitability of capital allocations for performance measurement
Kromer, Eduard
;
Overbeck, Ludger
- In:
Journal of risk
16
(
2013/14
)
6
,
pp. 31-58
Persistent link: https://www.econbiz.de/10010476245
Saved in:
8
Modeling default dependence with threshold models
Overbeck, Ludger
;
Schmidt, Wolfgang
- In:
The journal of derivatives : the official publication …
12
(
2004
)
4
,
pp. 10-19
Persistent link: https://www.econbiz.de/10003010718
Saved in:
9
Semi-analytic approaches to collateralized debt obligation modelling
Bluhm, Christian
;
Overbeck, Ludger
- In:
Economic notes : economic review of Banca Monte dei …
33
(
2004
)
2
,
pp. 233-255
Persistent link: https://www.econbiz.de/10003690207
Saved in:
10
A note on optimal risk sharing on image spaces
Kromer, Eduard
;
Overbeck, Ludger
- In:
Operations research letters
44
(
2016
)
2
,
pp. 202-208
Persistent link: https://www.econbiz.de/10011457296
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