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~isPartOf:"Advances in mathematical economics"
~isPartOf:"The journal of financial market infrastructures"
~subject:"Kreditrisiko"
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Kreditrisiko
Credit risk
4
Multivariate Verteilung
4
Multivariate distribution
4
Credit derivative
2
Derivat
2
Derivative
2
Kreditderivat
2
Swap
2
Theorie
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Theory
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ARCH model
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ARCH-Modell
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Clearing
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Correlation
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Estimation
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Financial clearing
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Financial crisis
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Financial services
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Finanzdienstleistung
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Finanzkrise
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Korrelation
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Portfolio selection
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Portfolio-Management
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Risikomanagement
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Risk management
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Schätzung
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Simulation
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Stress test
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Stresstest
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Student t DCC copula
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central counterparties (CCPs)
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copulas
1
credit default swap (CDS)
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credit default swap (CDS) clearing
1
generalized autoregressive conditional heteroscedasticity-dynamic conditional correlation (GARCH-DCC)
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initial margin (IM)
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nonparametric stress sce-narios
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portfolio risk
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risk management
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Bhanu, Aniket
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Cheruvelil, Roy M.
1
Ivanov, Stanislav
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Kusuoka, Shigeo
1
Li, David
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Advances in mathematical economics
The journal of financial market infrastructures
International journal of theoretical and applied finance
9
Journal of risk
5
Discussion paper
4
Economic modelling
4
European journal of operational research : EJOR
4
Insurance / Mathematics & economics
4
Journal of risk and financial management : JRFM
4
Journal of risk management in financial institutions
4
The North American journal of economics and finance : a journal of financial economics studies
4
The journal of credit risk : published quarterly by Incisive Media
4
Applied economics
3
Applied mathematical finance
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Cahiers d'etudes / Banque Centrale du Luxembourg
3
Discussion paper / Deutsche Bundesbank
3
Journal of empirical finance
3
Journal of international financial markets, institutions & money
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Annals of economics and statistics
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Applied economics letters
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BestMasters
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Bulletin of monetary economics and banking
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Bundesbank Series 2 Discussion Paper
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Pacific-Basin finance journal
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Research in international business and finance
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Review of derivatives research
2
Review of quantitative finance and accounting
2
SFB 649 discussion paper
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SpringerLink / Bücher
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The credit derivatives handbook : global perspectives, innovations, and market drivers
2
The journal of real estate finance and economics
2
Wiley finance
2
Working papers in economics
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Advances in econometrics
1
Alternative investments and strategies : credit, derivatives, CPPI, investments, risk
1
American journal of agricultural economics
1
BGPE discussion paper : Bavarian graduate program in economics
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Construction of hypothetical scenarios for central counterparty stress tests using vine copulas
Bhanu, Aniket
;
Virmani, Vineet
- In:
The journal of financial market infrastructures
10
(
2022
)
4
,
pp. 29-53
Persistent link: https://www.econbiz.de/10014538750
Saved in:
2
Study of correlation impact on credit default swap margin using a GARCH-DCC-copula framework
Li, David
;
Cheruvelil, Roy M.
- In:
The journal of financial market infrastructures
8
(
2019
)
1
,
pp. 51-92
Persistent link: https://www.econbiz.de/10012373185
Saved in:
3
Initial margin estimations for credit default swap portfolios
Ivanov, Stanislav
- In:
The journal of financial market infrastructures
5
(
2017
)
4
,
pp. 22-49
Persistent link: https://www.econbiz.de/10011729219
Saved in:
4
A remark on credit risk models and copula
Kusuoka, Shigeo
;
Nakashima, Takenobu
- In:
Advances in mathematical economics
16
(
2012
),
pp. 53-84
Persistent link: https://www.econbiz.de/10009627400
Saved in:
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