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~institution:"University of Bonn, Germany"
~subject:"counterparty risk"
~subject:"sovereign debt"
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counterparty risk
sovereign debt
Basel II
3
Default Risk
3
IRB approach
3
double default
3
granularity adjustment
2
Asset Swap
1
Bailout
1
Bankruptcy Procedures
1
Contingent Claims Pricing
1
Credit Derivatives
1
Credit risk
1
Default Swap
1
Default Swaption
1
Equity-Linked Life Insurance
1
Libor Market Model
1
Liquidation Risk
1
Parisian Options
1
Portfolio Models
1
Self-fulfilling runs
1
Sovereign debt
1
Sovereign default
1
analytic approximation
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analytical approximation
1
arbitrage
1
default risk
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endogenous default
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regulatory capital
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saddle- point approximation
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securitization
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structural credit portfolio models
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term structure of interest rates
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English
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Ebert, Sebastian
1
Lütkebohmert, Eva
1
Wiggers, Andreas
1
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University of Bonn, Germany
International Monetary Fund (IMF)
45
C.E.P.R. Discussion Papers
8
International Monetary Fund
8
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
7
EconWPA
6
CESifo
3
Departamento de Economia, Faculdade de Economia, Administração e Contabilidade
3
Society for Economic Dynamics - SED
3
Banco de España
2
Centre for Economic Performance, LSE
2
Department of Economics, City University
2
Fachbereich Wirtschaftswissenschaften, Universität Konstanz
2
Institut für Weltwirtschaft (IfW)
2
London School of Economics (LSE)
2
Vancouver School of Economics
2
Banca d'Italia
1
Bank of England
1
Banque de France
1
Centre Emile Bernheim, Solvay Brussels School of Economics and Management
1
Centre for Macroeconomics (CFM)
1
Centre pour la Recherche Économique et ses Applications (CEPREMAP)
1
Christian-Albrechts-Universität zu Kiel
1
Department of Economics and Business, Universitat Pompeu Fabra
1
Department of Economics, University of Alberta
1
Econometric Society
1
Faculdade de Economia e Gestão, Universidade Católica Portuguesa
1
HAL
1
IRC Task Force on IMF and Global Financial Governance Issues
1
Narodowy Bank Polski
1
National Research University Higher School of Economics
1
Peter G. Peterson Institute for International Economics (IIE)
1
Swiss Finance Institute
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Bonn Econ Discussion Papers
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1
Treatment of Double
Default
Effects within the Granularity Adjustment for Basel II
Ebert, Sebastian
;
Lütkebohmert, Eva
-
University of Bonn, Germany
-
2009
default
e?ects. It accounts for guarantees and their e?ect of reducing credit risk in the portfolio. Our general GA very well …
Persistent link: https://www.econbiz.de/10004964141
Saved in:
2
Default
-risky Sovereign Debt
Wiggers, Andreas
-
University of Bonn, Germany
-
2002
. I analyze the value of a
default
-risky sovereign bond in a setting in which foreign trade is reduced in case the country …
Persistent link: https://www.econbiz.de/10004968369
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