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~isPartOf:"Journal of economic dynamics & control"
~isPartOf:"Mathematical finance : an international journal of mathematics, statistics and financial theory"
~isPartOf:"The journal of derivatives : the official publication of the International Association of Financial Engineers"
~subject:"Credit risk"
~subject:"Swap"
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Search: subject_exact:"Wertpapiertermingeschäft"
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Credit risk
Swap
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Brigo, Damiano
2
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1
Bo, Lijun
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Journal of economic dynamics & control
Mathematical finance : an international journal of mathematics, statistics and financial theory
The journal of derivatives : the official publication of the International Association of Financial Engineers
International journal of theoretical and applied finance
51
Journal of banking & finance
35
The journal of credit risk : published quarterly by Incisive Media
20
Review of derivatives research
19
The journal of fixed income
19
The journal of computational finance
15
Journal of financial economics
13
The North American journal of economics and finance : a journal of financial economics studies
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Applied mathematical finance
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Finance and economics discussion series
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Journal of risk management in financial institutions
11
The journal of financial market infrastructures
11
European journal of operational research : EJOR
10
International review of economics & finance : IREF
10
International review of financial analysis
10
The journal of futures markets
10
Quantitative finance
9
Credit derivatives : the definitive guide
8
Finance research letters
8
Journal of financial intermediation
8
Journal of mathematical finance
8
The credit derivatives handbook : global perspectives, innovations, and market drivers
8
Applied economics letters
7
Discussion paper
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Finance and stochastics
7
Journal of empirical finance
7
Journal of securities operations & custody
7
NBER working paper series
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Risks : open access journal
7
SpringerLink / Bücher
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Wiley finance
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International journal of financial engineering
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Journal of international financial markets, institutions & money
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ECONIS (ZBW)
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1
CDS Returns
Augustin, Patrick
;
Saleh, Fahad
;
Xu, Haohua
- In:
Journal of economic dynamics & control
118
(
2020
),
pp. 1-27
Persistent link: https://www.econbiz.de/10012503412
Saved in:
2
Evaluation of counterparty risk for derivatives with early-exercise features
Breton, Michèle
;
Marzouk, Oussama
- In:
Journal of economic dynamics & control
88
(
2018
),
pp. 1-20
Persistent link: https://www.econbiz.de/10011973914
Saved in:
3
Interest rate swaps and corporate default
Jermann, Urban J.
;
Yue, Vivian Z.
- In:
Journal of economic dynamics & control
88
(
2018
),
pp. 104-120
Persistent link: https://www.econbiz.de/10011973928
Saved in:
4
Optimal investment in credit derivatives portfolio under contagion risk
Bo, Lijun
;
Capponi, Agostino
- In:
Mathematical finance : an international journal of …
26
(
2016
)
4
,
pp. 785-834
Persistent link: https://www.econbiz.de/10011583805
Saved in:
5
Counterparty risk minimization by the optimal netting of OTC derivative trades
O'Kane, Dominic
- In:
The journal of derivatives : the official publication …
24
(
2016
)
2
,
pp. 48-65
Persistent link: https://www.econbiz.de/10011687335
Saved in:
6
Bilateral counterparty risk under funding constraints - part II : CVA
Crépey, Stéphane
- In:
Mathematical finance : an international journal of …
25
(
2015
)
1
,
pp. 23-50
Persistent link: https://www.econbiz.de/10011347256
Saved in:
7
Bilateral counterparty risk under funding constraints - part I : pricing
Crépey, Stéphane
- In:
Mathematical finance : an international journal of …
25
(
2015
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011347260
Saved in:
8
Admissibility of generic market models of forward swap rates
Li, Libo
;
Rutkowski, Marek
- In:
Mathematical finance : an international journal of …
24
(
2014
)
4
,
pp. 728-761
Persistent link: https://www.econbiz.de/10011308170
Saved in:
9
Demystifying credit risk derivatives and securitization : introducing the basic ideas to undergraduates
Cifuentes, Arturo
;
Pagnoncelli, Bernardo K.
- In:
The journal of derivatives : the official publication …
22
(
2014
)
2
,
pp. 110-118
Persistent link: https://www.econbiz.de/10011311414
Saved in:
10
Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps
Brigo, Damiano
;
Capponi, Agostino
;
Pallavicini, Andrea
- In:
Mathematical finance : an international journal of …
24
(
2014
)
1
,
pp. 125-146
Persistent link: https://www.econbiz.de/10010256178
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