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~isPartOf:"European journal of operational research : EJOR"
~isPartOf:"International journal of theoretical and applied finance"
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Search: subject_exact:"Kreditderivat"
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Theorie
Credit derivative
37
Kreditderivat
37
Credit risk
33
Kreditrisiko
33
Theory
24
Derivat
18
Derivative
18
Swap
15
Stochastic process
12
Stochastischer Prozess
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Option pricing theory
11
Optionspreistheorie
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Insolvency
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Credit insurance
7
Financial services
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Finanzdienstleistung
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Yield curve
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Multivariate Verteilung
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Credit default swaps
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Hedging
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counterparty risk
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credit default swap
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credit default swaps
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Asset-Backed Securities
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CAPM
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Brigo, Damiano
3
Jeanblanc, Monique
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2
Crépey, S.
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1
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European journal of operational research : EJOR
International journal of theoretical and applied finance
The journal of credit risk : published quarterly by Incisive Media
16
Journal of banking & finance
15
The journal of fixed income
9
Journal of financial economics
8
NBER Working Paper
8
NBER working paper series
8
Discussion paper / Centre for Economic Policy Research
7
Economic modelling
7
The Oxford handbook of credit derivatives
7
The review of financial studies
7
Working paper / National Bureau of Economic Research, Inc.
7
Finance and economics discussion series
6
Review of derivatives research
6
SpringerLink / Bücher
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ECB Working Paper
5
Journal of empirical finance
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Journal of financial and quantitative analysis : JFQA
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The European journal of finance
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International review of financial analysis
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Journal of economic dynamics & control
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Journal of financial services research : JFSR
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Management science : journal of the Institute for Operations Research and the Management Sciences
4
Mathematical finance : an international journal of mathematics, statistics and financial theory
4
Quantitative finance
4
Research in international business and finance
4
Research paper series / Swiss Finance Institute
4
SFB 649 discussion paper
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The journal of corporate finance : contracting, governance and organization
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Working paper series / European Central Bank
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Annals of finance
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European financial management : the journal of the European Financial Management Association
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Finance and stochastics
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ECONIS (ZBW)
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1
From bid-ask credit default swap quotes to risk-neutral default probabilities using distorted expectations
Michielon, Matteo
;
Khedher, Asma
;
Spreij, Peter
- In:
International journal of theoretical and applied finance
24
(
2021
)
3
,
pp. 1-22
Persistent link: https://www.econbiz.de/10012652634
Saved in:
2
Factor copula model for portfolio credit risk
Kim, Sung Ik
;
Kim, Young Shin
- In:
International journal of theoretical and applied finance
24
(
2021
)
4
,
pp. 1-25
Persistent link: https://www.econbiz.de/10012652691
Saved in:
3
Credit default swaps in two-dimensional models with various informations flows
Gapeev, Pavel V.
;
Jeanblanc, Monique
- In:
International journal of theoretical and applied finance
23
(
2020
)
2
,
pp. 1-28
Persistent link: https://www.econbiz.de/10012270908
Saved in:
4
Hedging of synthetic CDO tranches with spread and default risk based on a combined forecasting approach
Liu, Wen-Qiong
;
Huang, Wen-Li
- In:
International journal of theoretical and applied finance
22
(
2019
)
2
,
pp. 1-17
Persistent link: https://www.econbiz.de/10012012947
Saved in:
5
Credit spread approximation and improvement using random forest regression
Mercadier, Mathieu
;
Lardy, Jean-Pierre
- In:
European journal of operational research : EJOR
277
(
2019
)
1
,
pp. 351-365
Persistent link: https://www.econbiz.de/10012015039
Saved in:
6
Multi-currency credit default swaps
Brigo, Damiano
;
Pede, Nicola
;
Petrelli, Andrea
- In:
International journal of theoretical and applied finance
22
(
2019
)
4
,
pp. 1-35
Persistent link: https://www.econbiz.de/10012030890
Saved in:
7
Pricing-hedging duality for credit default swaps and the negative basis arbitrage
Mai, Jan-Frederik
- In:
International journal of theoretical and applied finance
22
(
2019
)
6
,
pp. 1-17
Persistent link: https://www.econbiz.de/10012153067
Saved in:
8
Robust and sparse banking network estimation
Torri, Gabriele
;
Giacometti, Rosella
;
Paterlini, Sandra
- In:
European journal of operational research : EJOR
270
(
2018
)
1
,
pp. 51-65
Persistent link: https://www.econbiz.de/10011868914
Saved in:
9
A dynamic model of central counterparty risk
Bielecki, Tomasz R.
;
Cialenco, Igor
;
Feng, Shibi
- In:
International journal of theoretical and applied finance
21
(
2018
)
8
,
pp. 1-34
Persistent link: https://www.econbiz.de/10011970904
Saved in:
10
Contagion effects and collateralized credit value adjustments for credit default swaps
Frey, Rüdiger
;
Rösler, Lars
- In:
International journal of theoretical and applied finance
17
(
2014
)
7
,
pp. 1-29
Persistent link: https://www.econbiz.de/10010498864
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