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Theoretische und empirische Analyse des Zinsänderungsrisikos : eine Untersuchung unter Einbeziehung ausgewählter Steuerungsansätze
Ulrich, Ralf Alexander - 2003
Persistent link: https://www.econbiz.de/10001793224
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Berücksichtigung des Zinsänderungsrisikos bei der Neubewertung am Risikohorizont in Kreditportfoliomodellen
Grundke, Peter - In: Journal of business economics : JBE 72 (2002) 12, pp. 1241-1267
Persistent link: https://www.econbiz.de/10001720930
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Measuring and controlling interest rate and credit risk
Fabozzi, Frank J.; Mann, Steven V.; Choudhry, Moorad - 2003 - 2. ed.
Persistent link: https://www.econbiz.de/10001764463
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Financial risk and financial risk management
Batten, Jonathan A. (ed.);  … - 2002 - 1. ed
Persistent link: https://www.econbiz.de/10001677915
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Performance von Zinsderivaten
Firnges, Jan-Peter - 2008 - 1. Aufl.
Persistent link: https://www.econbiz.de/10003693693
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Stein's method and zero bias transformation for CDO tranche pricing
El Karoui, Nicole; Jiao, Y. - In: Finance and stochastics 13 (2009) 2, pp. 151-180
Persistent link: https://www.econbiz.de/10003939500
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Quantitative credit portfolio management : new techniques for alpha capture
Dor, Arik Ben; Dynkin, Lev; Hyman, Jay; Phelps, Bruce D. - 2012 - 1. ed.
An innovative approach to post-crash credit portfolio management Credit portfolio managers traditionally rely on fundamental research for decisions on issuer selection and sector rotation. Quantitative researchers tend to use more mathematical techniques for pricing models and to quantify credit...
Persistent link: https://www.econbiz.de/10009424011
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Valuation and VaR computation for CDOs using Stein's method
El Karoui, Nicole; Jiao, Ying; Kurtz, David - In: Applied quantitative finance, (pp. 161-189). 2009
Persistent link: https://www.econbiz.de/10003746015
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Credit-Value-at-Risk unter besonderer Berücksichtigung des Zusammenhangs von Markt- und Kreditrisiken
Entrop, Oliver - 2000
Persistent link: https://www.econbiz.de/10001546745
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Quantitative credit portfolio management : practical innovations for measuring and controlling liquidity, spread, and issuer concentration risk
Dor, Arik Ben (contributor) - 2012 - 1st ed (Online-Ausg.)
-- Dependence of Slope on Maturity -- CHAPTER 5 Quantifying the Liquidity of Corporate Bonds -- Liquidity Cost Scores (LCS) for U …
Persistent link: https://www.econbiz.de/10012678669