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~isPartOf:"International journal of theoretical and applied finance"
~subject:"Kreditrisiko"
~type:"article"
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Search: subject_exact:"Kendall's tau"
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Kreditrisiko
Correlation
32
Korrelation
32
Option pricing theory
13
Optionspreistheorie
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Stochastic process
10
Stochastischer Prozess
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Volatility
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Volatilität
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Derivative
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correlation
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Brigo, Damiano
1
Di Graziano, Giuseppe
1
Jabłecki, Juliusz
1
Krehbiel, Timothy L.
1
Li, Weiping
1
Pallavicini, Andrea
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Papatheodorou, Vasileios
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International journal of theoretical and applied finance
The journal of credit risk : published quarterly by Incisive Media
9
Journal of banking & finance
8
The journal of fixed income
7
The journal of risk model validation
7
Journal of risk management in financial institutions
5
Applied economics
4
Journal of economic dynamics & control
4
Journal of empirical finance
4
Economic modelling
3
Essays on the determinants of corporate bond yield spreads
3
European journal of operational research : EJOR
3
Financial markets and portfolio management
3
Journal of international financial markets, institutions & money
3
Journal of risk and financial management : JRFM
3
Quantitative finance
3
Risks : open access journal
3
Central European journal of operations research : CEJOR ; official journal of the Austrian, Croatian, Czech, Hungarian, Slovakian and Slovenian OR Societies
2
China finance review international
2
Credit risk : models, derivatives, and management
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Finance research letters
2
IMA journal of management mathematics
2
International business and economics research journal
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International review of economics & finance : IREF
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Journal of financial services research : JFSR
2
Journal of risk
2
Review of derivatives research
2
Risk management : an international journal
2
The European journal of finance
2
The credit market handbook : advanced modeling issues
2
The journal of asset management
2
The journal of derivatives : the official publication of the International Association of Financial Engineers
2
Annales d'économie et de statistique
1
Annals of economics and statistics
1
Annals of finance
1
Applied quantitative finance
1
Banken, Finanzierung und Unternehmensführung : Festschrift für Karl Lohmann zum 65. Geburtstag
1
Bulletin of applied economics
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Rise and fall of synthetic CDO market : lessons learned
Jabłecki, Juliusz
- In:
International journal of theoretical and applied finance
20
(
2017
)
8
,
pp. 1-28
Persistent link: https://www.econbiz.de/10011787469
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2
An improved approach to evaluate default probabilities and default correlations with consistency
Li, Weiping
;
Krehbiel, Timothy L.
- In:
International journal of theoretical and applied finance
19
(
2016
)
5
,
pp. 1-29
Persistent link: https://www.econbiz.de/10011525108
Saved in:
3
Arbitrage-free valuation of bilateral counterparty risk for interest-rate products : impact of volatilities and correlations
Brigo, Damiano
;
Pallavicini, Andrea
;
Papatheodorou, …
- In:
International journal of theoretical and applied finance
14
(
2011
)
6
,
pp. 773-802
Persistent link: https://www.econbiz.de/10009381011
Saved in:
4
A dynamic approach to the modeling of correlation credit derivatives using Markov chains
Di Graziano, Giuseppe
;
Rogers, Leonard C. G.
- In:
International journal of theoretical and applied finance
12
(
2009
)
1
,
pp. 45-62
Persistent link: https://www.econbiz.de/10003847557
Saved in:
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