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subject:"Kreditgeschäft"
subject:"Portfolio-Management"
~person:"Mitra, Sovan"
~person:"Rösch, Daniel"
~type_genre:"Article in journal"
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Kreditgeschäft
Portfolio-Management
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20
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8
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8
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7
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Mitra, Sovan
Rösch, Daniel
Wang, Ruodu
12
Fabozzi, Frank J.
11
Hammoudeh, Shawkat
11
Mao, Tiantian
8
Alexander, Gordon J.
7
Guillén, Montserrat
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Janabi, Mazin A. M. al
7
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Chen, Zhiping
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Godin, Frédéric
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Li, Duan
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Regis, Luca
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Lin, Yijia
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European journal of operational research : EJOR
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Economic modelling
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ECONIS (ZBW)
10
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10
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1
An analysis of dollar cost averaging and market timing investment strategies
Kirkby, J. Lars
;
Mitra, Sovan
;
Nguyen, Duy
- In:
European journal of operational research : EJOR
286
(
2020
)
3
,
pp. 1168-1186
Persistent link: https://www.econbiz.de/10012291635
Saved in:
2
Hedging parameter risk
Claußen, Arndt
;
Rösch, Daniel
;
Schmelzle, Martin
- In:
Journal of banking & finance
100
(
2019
),
pp. 111-121
Persistent link: https://www.econbiz.de/10012162464
Saved in:
3
Stock-ADR arbitrage : microstructure risk
Mitra, Sovan
;
Chinthalapati, V. L. Raju
;
Clark, Ephraim
; …
- In:
Journal of international financial markets, …
63
(
2019
),
pp. 1-15
Persistent link: https://www.econbiz.de/10012263282
Saved in:
4
Systematic effects among loss given defaults and their Implications on downturn estimation
Betz, Jennifer
;
Kellner, Ralf
;
Rösch, Daniel
- In:
European journal of operational research : EJOR
271
(
2018
)
3
,
pp. 1113-1144
Persistent link: https://www.econbiz.de/10011903289
Saved in:
5
Efficient option risk measurement with reduced model risk
Mitra, Sovan
- In:
Insurance / Mathematics & economics
72
(
2017
),
pp. 163-174
Persistent link: https://www.econbiz.de/10011694422
Saved in:
6
The role of model risk in extreme value theory for capital adequacy
Kellner, Ralf
;
Rösch, Daniel
;
Scheule, Harald
- In:
Journal of risk
18
(
2016
)
6
,
pp. 39-70
Persistent link: https://www.econbiz.de/10011620651
Saved in:
7
Quantifying market risk with Value-at-Risk or Expected Shortfall? : consequences for capital requirements and model risk
Kellner, Ralf
;
Rösch, Daniel
- In:
Journal of economic dynamics & control
68
(
2016
),
pp. 45-63
Persistent link: https://www.econbiz.de/10011708407
Saved in:
8
Operational risk of option hedging
Mitra, Sovan
- In:
Economic modelling
33
(
2013
),
pp. 194-203
Persistent link: https://www.econbiz.de/10010191991
Saved in:
9
Pricing and risk management of interest rate swaps
Mitra, Sovan
;
Date, Paresh
;
Mamon, Rogemar
;
Wang, I-chieh
- In:
European journal of operational research : EJOR
228
(
2013
)
1
,
pp. 102-111
Persistent link: https://www.econbiz.de/10009734148
Saved in:
10
Downturn credit portofolio risk regulatory capital and prudential incentives
Rösch, Daniel
;
Scheule, Harald
- In:
International review of finance
10
(
2010
)
2
,
pp. 185-207
Persistent link: https://www.econbiz.de/10003991361
Saved in:
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