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subject:"Derivative"
subject:"Risk measure"
~isPartOf:"International journal of theoretical and applied finance"
~subject:"Kreditrisiko"
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Derivative
Risk measure
Kreditrisiko
Risikomanagement
38
Risk management
38
Theorie
20
Theory
20
Credit risk
17
Portfolio selection
15
Portfolio-Management
15
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Brigo, Damiano
2
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1
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1
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1
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O'Donoghue, Brendan
1
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1
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International journal of theoretical and applied finance
Insurance / Mathematics & economics
110
Journal of banking & finance
97
Risks : open access journal
72
Journal of risk management in financial institutions
67
European journal of operational research : EJOR
64
Finance research letters
56
Journal of risk
51
SpringerLink / Bücher
44
Energy economics
43
International review of financial analysis
38
The journal of risk model validation
34
The North American journal of economics and finance : a journal of financial economics studies
33
Economic modelling
31
Quantitative finance
30
Risiko-Manager
29
The journal of operational risk
29
Journal of risk and financial management : JRFM
27
International review of economics & finance : IREF
25
Journal of financial stability
25
The European journal of finance
24
The journal of credit risk : published quarterly by Incisive Media
23
Zeitschrift für das gesamte Kreditwesen : Pflichtblatt der Frankfurter Wertpapierbörse
23
Applied economics
22
Wiley finance series
21
Agricultural finance review
20
Discussion paper / Tinbergen Institute
19
Research in international business and finance
19
Die Bank
18
Journal of empirical finance
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Research paper series / Swiss Finance Institute
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International journal of forecasting
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Review of quantitative finance and accounting
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Schriftenreihe Finanzmanagement
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The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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Applied economics letters
15
Discussion paper
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International journal of economics and financial issues : IJEFI
15
The journal of financial market infrastructures
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ECONIS (ZBW)
29
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1
A liquidation risk adjustment for value at risk and expected shortfall
Wagalath, Lakshithe
;
Zubelli, Jorge P.
- In:
International journal of theoretical and applied finance
21
(
2018
)
3
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011889543
Saved in:
2
Efficient risk measures calculations for generalized CreditRisk+ models
Huang, Zhenzhen
;
Kwok, Yue-Kuen
- In:
International journal of theoretical and applied finance
24
(
2021
)
2
,
pp. 1-51
Persistent link: https://www.econbiz.de/10012650350
Saved in:
3
Local risk minimization of contingent claims simultaneously exposed to endogenous and exogenous default times
Okhrati, Ramin
;
Karpathopoulos, Nikolaos
- In:
International journal of theoretical and applied finance
24
(
2021
)
6/7
,
pp. 1-41
Persistent link: https://www.econbiz.de/10012807897
Saved in:
4
On the calculation of risk measures using least-squares Monte Carlo
Benedetti, Giuseppe
- In:
International journal of theoretical and applied finance
20
(
2017
)
3
,
pp. 1-14
Persistent link: https://www.econbiz.de/10011686897
Saved in:
5
Counterparty credit risk in a clearing network
Felbert, Alexander von
- In:
International journal of theoretical and applied finance
23
(
2020
)
6
,
pp. 1-21
Persistent link: https://www.econbiz.de/10012496786
Saved in:
6
Capital allocation for set-valued risk measures
Centrone, Francesca
;
Rosazza Gianin, Emanuela
- In:
International journal of theoretical and applied finance
23
(
2020
)
1
,
pp. 1-16
Persistent link: https://www.econbiz.de/10012270884
Saved in:
7
Measuring model risk in financial risk management and pricing
Jokhadze, Valeriane
;
Schmidt, Wolfgang M.
- In:
International journal of theoretical and applied finance
23
(
2020
)
2
,
pp. 1-37
Persistent link: https://www.econbiz.de/10012270928
Saved in:
8
An improved approach to evaluate default probabilities and default correlations with consistency
Li, Weiping
;
Krehbiel, Timothy L.
- In:
International journal of theoretical and applied finance
19
(
2016
)
5
,
pp. 1-29
Persistent link: https://www.econbiz.de/10011525108
Saved in:
9
A spread-return mean-reverting model for credit spread dynamics
O'Donoghue, Brendan
;
Peacock, Matthew
;
Lee, Jacky
; …
- In:
International journal of theoretical and applied finance
17
(
2014
)
3
,
pp. 1-14
Persistent link: https://www.econbiz.de/10010364761
Saved in:
10
Set-valued shortfall and divergence risk measures
Ararat, Çağin
;
Hamel, Andreas
;
Rudloff, Birgit
- In:
International journal of theoretical and applied finance
20
(
2017
)
5
,
pp. 1-48
Persistent link: https://www.econbiz.de/10011733939
Saved in:
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