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subject:"Credit risk"
~person:"Fermanian, Jean-David"
~subject:"Risk measure"
~subject:"Statistical distribution"
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Search: subject_exact:"LPM (Lower Partial Moments)"
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Credit risk
Risk measure
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Kreditrisiko
9
Risikomaß
9
Risikomanagement
5
Risk management
5
Theorie
5
Theory
5
Nichtparametrisches Verfahren
4
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counterparty risk
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elliptical distributions
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market risk
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granularity adjustment (GA)
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Fermanian, Jean-David
McAleer, Michael
93
Wang, Ruodu
43
Allen, David E.
42
Härdle, Wolfgang
39
Stoja, Evarist
37
Pérez Amaral, Teodosio
32
Fabozzi, Frank J.
31
Hammoudeh, Shawkat
29
Daníelsson, Jón
28
Dowd, Kevin
27
Polanski, Arnold
27
Vanduffel, Steven
27
Vries, Casper G. de
27
Chang, Chia-Lin
26
Powell, Robert
24
Righi, Marcelo Brutti
23
Rosazza Gianin, Emanuela
23
Embrechts, Paul
22
Jiménez-Martín, Juan-Ángel
22
Račev, Svetlozar T.
22
Rüschendorf, Ludger
22
Caporin, Massimiliano
21
Dhaene, Jan
20
Giot, Pierre
20
Huschens, Stefan
20
Paolella, Marc S.
20
Wied, Dominik
20
Stoyanov, Stoyan V.
19
Bernard, Carole
18
Brandtner, Mario
18
Dionne, Georges
18
Albrecht, Peter
17
Lucas, André
17
Mao, Tiantian
17
Tsanakas, Andreas
17
Boonen, Tim J.
16
Gouriéroux, Christian
16
Kratz, Marie
16
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16
Singh, Abhay Kumar
16
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Cahier de recherche / Faculté des Sciences Economiques et Sociales, Hautes Etudes Commerciales, Université de Genève
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ECONIS (ZBW)
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1
On the dependence between default risk and recovery rates in structural models
Fermanian, Jean-David
- In:
Annals of economics and statistics
140
(
2020
),
pp. 45-82
Persistent link: https://www.econbiz.de/10012602600
Saved in:
2
Multi-factor granularity adjustments for market and counterparty risks
Fermanian, Jean-David
;
Florentin, Clément
-
2016
Persistent link: https://www.econbiz.de/10012196291
Saved in:
3
Multifactor granularity adjustments for market and counterparty risks
Fermanian, Jean-David
;
Florentin, Clément
- In:
Journal of risk
20
(
2017/2018
)
6
,
pp. 1-27
Persistent link: https://www.econbiz.de/10011962402
Saved in:
4
The limits of granularity adjustments
Fermanian, Jean-David
- In:
Journal of banking & finance
45
(
2014
),
pp. 9-25
Persistent link: https://www.econbiz.de/10010466685
Saved in:
5
The limits of granularity adjustments
Fermanian, Jean-David
-
2013
Persistent link: https://www.econbiz.de/10010342709
Saved in:
6
Sensitivity analysis of VaR expected shortfall for portfolios under netting agreements
Fermanian, Jean-David
(
contributor
); …
-
2003
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001791460
Saved in:
7
Sensitivity analysis of VaR and expected shortfall for portfolios under netting agreements
Fermanian, Jean-David
;
Scaillet, Olivier
- In:
Journal of banking & finance
29
(
2005
)
4
,
pp. 927-958
Persistent link: https://www.econbiz.de/10002600391
Saved in:
8
Sensitivity analysis of var and expected shortfall for portfolios under netting agreements
Fermanian, Jean-David
;
Scaillet, Olivier
-
2003
Persistent link: https://www.econbiz.de/10001812434
Saved in:
9
Sensitivity analysis of VaR and expected shortfall for portfolios under netting agreements
Fermanian, Jean-David
;
Scaillet, Olivier
-
2003
Persistent link: https://www.econbiz.de/10001807607
Saved in:
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