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Financial services
Credit risk
38
Kreditrisiko
38
Derivat
26
Derivative
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credit valuation adjustment
26
Theorie
19
Theory
19
Counterparty risk
16
Credit valuation adjustment
14
Finanzdienstleistung
13
Option pricing theory
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Optionspreistheorie
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credit valuation adjustment (CVA)
12
Risikomanagement
10
Risk management
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Swap
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Credit Valuation Adjustment
9
Credit derivative
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Kreditderivat
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counterparty risk
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default correlation
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counterparty credit risk
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Collateral
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Credit default swaps
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Kreditsicherung
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CVA
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Interest rate derivative
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Multivariate Verteilung
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Multivariate distribution
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Zinsderivat
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wrong-way risk
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Counterparty Credit Risk
4
Counterparty Risk
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Credit default swap
4
Credit rating
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Kreditwürdigkeit
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Portfolio selection
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Brigo, Damiano
3
Capponi, Agostino
2
Pallavicini, Andrea
2
Albanese, Claudio
1
Bielecki, Tomasz R.
1
Breton, Michèle
1
Cialenco, Igor
1
C̆erný, Jakub
1
Dong, Bing
1
Dong, Yinghui
1
Ehrhardt, Matthias
1
Feng, Qian
1
Glasserman, Paul
1
Günther, Michael
1
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Hopper, Greg
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Iyigunler, Ismail
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Oertel, Frank
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Oosterlee, Cornelis Willebrordus
1
Papatheodorou, Vasileios
1
Teng, Long
1
Wang, Guangguang
1
Wang, Guojing
1
Witzany, Jir̆í
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Xu, Wei
1
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International journal of theoretical and applied finance
5
Journal of risk
2
Economic modelling
1
Journal of risk management in financial institutions
1
Mathematical finance : an international journal of mathematics, statistics and financial economics
1
Mathematical finance : an international journal of mathematics, statistics and financial theory
1
The journal of computational finance : JFC
1
The journal of credit risk : published quarterly by Incisive Media
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ECONIS (ZBW)
13
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1
Evaluating
credit
valuation
adjustment
with wrong-way risk for Bermudan options
Dong, Bing
;
Xu, Wei
;
Wang, Guangguang
- In:
The journal of computational finance : JFC
27
(
2023
)
3
,
pp. 115-155
Persistent link: https://www.econbiz.de/10014487048
Saved in:
2
Counterparty risk :
credit
valuation
adjustment
variability and value-at-risk
Breton, Michèle
;
Marzouk, Oussama
- In:
Journal of risk
21
(
2018/2019
)
5
,
pp. 1-28
Persistent link: https://www.econbiz.de/10012059879
Saved in:
3
A copula approach to
credit
valuation
adjustment
for swaps under wrong-way risk
C̆erný, Jakub
;
Witzany, Jir̆í
- In:
The journal of credit risk : published quarterly by …
14
(
2018
)
1
,
pp. 31-43
Persistent link: https://www.econbiz.de/10011885459
Saved in:
4
Bounding wrong-way risk in CVA calculation
Glasserman, Paul
;
Yang, Linan
- In:
Mathematical finance : an international journal of …
28
(
2018
)
1
,
pp. 268-305
Persistent link: https://www.econbiz.de/10011969151
Saved in:
5
Computing
credit
valuation
adjustment
for Bermudan options with wrong way risk
Feng, Qian
;
Oosterlee, Cornelis Willebrordus
- In:
International journal of theoretical and applied finance
20
(
2017
)
8
,
pp. 1-31
Persistent link: https://www.econbiz.de/10011787454
Saved in:
6
Path-consistent wrong-way risk : a structural model approach
Hofer, Markus
- In:
Journal of risk
19
(
2016
)
1
,
pp. 25-42
Persistent link: https://www.econbiz.de/10011579756
Saved in:
7
Bilateral counterparty risk valuation for credit default swap in a contagion model using Markov chain
Dong, Yinghui
;
Wang, Guojing
- In:
Economic modelling
40
(
2014
),
pp. 91-100
Persistent link: https://www.econbiz.de/10010425718
Saved in:
8
Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps
Brigo, Damiano
;
Capponi, Agostino
;
Pallavicini, Andrea
- In:
Mathematical finance : an international journal of …
24
(
2014
)
1
,
pp. 125-146
Persistent link: https://www.econbiz.de/10010256178
Saved in:
9
The art and science of stress testing
Hopper, Greg
- In:
Journal of risk management in financial institutions
7
(
2014
)
1
,
pp. 62-71
Persistent link: https://www.econbiz.de/10010259564
Saved in:
10
Bilateral counterparty risk valuation of CDS contracts with simultaneous defaults
Teng, Long
;
Ehrhardt, Matthias
;
Günther, Michael
- In:
International journal of theoretical and applied finance
16
(
2013
)
7
,
pp. 1-20
Persistent link: https://www.econbiz.de/10010233305
Saved in:
1
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