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~isPartOf:"BIS working papers"
~isPartOf:"The journal of financial market infrastructures"
~subject:"Kreditrisiko"
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Kreditrisiko
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correlation risk premium
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credit default swap (CDS)
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credit default swap (CDS) clearing
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generalized autoregressive conditional heteroscedasticity-dynamic conditional correlation (GARCH-DCC)
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joint distribution of asset returns
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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
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2
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:
3
The pricing of portfolio credit risk
Tarashev, Nikola A.
;
Zhu, Haibin
-
2006
Persistent link: https://www.econbiz.de/10003376553
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