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subject:"Kreditderivat"
~person:"Herbertsson, Alexander"
~subject:"Bank"
~type_genre:"Non-commercial literature"
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Kreditderivat
Bank
Credit risk
9
Kreditrisiko
9
Portfolio selection
7
Portfolio-Management
7
Credit derivative
6
Theorie
6
Theory
6
Credit insurance
4
Kreditversicherung
4
intensity-based models
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numerical methods
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Numerisches Verfahren
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Risikomanagement
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Risikomaß
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Markov chain
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Markov-Kette
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Multivariate Verteilung
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Option pricing theory
2
Optionspreistheorie
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Value-at-Risk
2
conditional independent dependence modelling
2
credit copula models
2
credit portfolio risk
2
equity portfolio risk
2
factor models
2
saddlepoint-methods
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Asset-Backed Securities
1
Asset-backed securities
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Automotive industry
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CAPM
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CDS index
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Herbertsson, Alexander
Ongena, Steven
32
Gündüz, Yalın
12
Peydró, José-Luis
10
Degryse, Hans
8
Colonnello, Stefano
7
Abbassi, Puriya
6
Acharya, Viral V.
6
Efing, Matthias
6
Masschelein, Nancy
6
Zhu, Haibin
6
Zucchi, Francesca
6
Agarwal, Sumit
5
Düllmann, Klaus
5
Gilchrist, Simon
5
Gong, Feixue
5
Härdle, Wolfgang
5
Iyer, Rajkamal
5
Jagtiani, Julapa
5
Krahnen, Jan Pieter
5
Memmel, Christoph
5
Phelan, Gregory
5
Santos, João A. C.
5
Scheicher, Martin
5
Soto, Paul E.
5
Wijnbergen, Sweder van
5
Young, H. Peyton
5
Zakrajšek, Egon
5
Zhou, Hao
5
Allen, David E.
4
Andersen, Henrik
4
Auer, Raphael A.
4
Balasubramanyan, Lakshmi
4
Battiston, Stefano
4
Broll, Udo
4
Brož, Václav
4
Brunner, Antje
4
Caporale, Guglielmo Maria
4
Damjanovic, Vladislav
4
De Jonghe, Olivier
4
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1
CDS index options in Markov chain models
Herbertsson, Alexander
-
2019
Persistent link: https://www.econbiz.de/10011965838
Saved in:
2
A Markov Copula model of portfolio credit risk with stochastic intensities and Random recoveries
Bielecki, Tomasz R.
;
Cousin, Areski
;
Crépy, Stéphane
; …
-
2012
Persistent link: https://www.econbiz.de/10009630172
Saved in:
3
Pricing basket default swaps in a tractable shot-noise model
Herbertsson, Alexander
;
Jang, Jiwook
;
Schmidt, Thorsten
-
2009
Persistent link: https://www.econbiz.de/10003828944
Saved in:
4
Pricing k-th-to-default swaps ander default contagion : the matrix-analytic approach
Herbertsson, Alexander
(
contributor
); …
-
2007
Persistent link: https://www.econbiz.de/10003571927
Saved in:
5
Pricing synthetic CDO tranches in a model with default contagion using the matrix-analytic approach
Herbertsson, Alexander
(
contributor
)
-
2007
Persistent link: https://www.econbiz.de/10003571937
Saved in:
6
Modelling default contagion using multivariate phase-type distributions
Herbertsson, Alexander
(
contributor
)
-
2007
Persistent link: https://www.econbiz.de/10003571939
Saved in:
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