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Modellierung desKreditrisikos im Portfoliofall
Cremers, Heinz; Walzner, Jens - Frankfurt School of Finance & Management - 2009
as theseoffer a broad range of possibilities to reduce credit risk through active credit portfoliomanagement. This has … key focus of thisworking paper.Literature distinguishes between three different kinds of credit pricing models: Asset …
Persistent link: https://www.econbiz.de/10008695277
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Pricing, risk, and performance measurement in practice : the building block approach to modeling instruments and portfolios
Schwerdt, Wolfgang; Wendland, Marcelle von - 2009
Persistent link: https://www.econbiz.de/10003830819
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Pricing and Risk Management of Synthetic CDOs
Schlösser, Anna - 2011
This book considers the one-factor copula model for credit portfolios that are used for pricing synthetic CDO …
Persistent link: https://www.econbiz.de/10014015252
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Pricing and risk management of synthetic CDOs
Schlösser, Anna - 2011
Persistent link: https://www.econbiz.de/10008797619
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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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Portfolio diversification in the sovereign credit swap markets
Consiglio, Andrea; Lotfi, Somayyeh; Zenios, Stauros Andrea - 2016
Persistent link: https://www.econbiz.de/10011539351
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Worst-Case Analysen des Ausfallrisikos eines Portfolios aus marktabhängigen Finanzderivaten
Barth, Jörn - In: Kreditrisikomanagement : Kernbereiche, Aufsicht und …, (pp. 115-156). 2002
Persistent link: https://www.econbiz.de/10001720335
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Worst-Case Analysen des Ausfallrisikos eines Portfolios aus marktabhängigen Finanzderivaten
Barth, Jörn - In: Kreditrisikomanagement : Portfoliomodelle und Derivate, (pp. 107-148). 2000
Persistent link: https://www.econbiz.de/10001491336
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Uncovering the mesoscale structure of the credit default swap market to improve portfolio risk modelling
Anagnostou, I.; Squartini, T.; Kandhai, D.; Garlaschelli, D. - In: Quantitative finance 21 (2021) 9, pp. 1501-1518
Persistent link: https://www.econbiz.de/10012624151
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Capital market finance : an introduction to primitive assets, derivatives, portfolio management and risk
Poncet, Patrice; Portait, Roland; Toder, Igor - 2022
Persistent link: https://www.econbiz.de/10012628654