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~isPartOf:"Review of derivatives research"
~subject:"Credit derivative"
~subject:"Risk premium"
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Credit derivative
Risk premium
Credit risk
32
Kreditrisiko
32
Option pricing theory
15
Optionspreistheorie
15
Derivat
13
Derivative
13
Theorie
13
Theory
13
Kreditderivat
10
Insolvency
6
Insolvenz
6
Risikoprämie
6
Option trading
5
Optionsgeschäft
5
Portfolio selection
5
Portfolio-Management
5
Yield curve
5
Zinsstruktur
5
Bond
4
Estimation
4
Schätzung
4
Anleihe
3
Asset-Backed Securities
3
Asset-backed securities
3
CAPM
3
Corporate bond
3
Credit default swaps
3
Credit derivatives
3
Risiko
3
Risk
3
Stochastic process
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Stochastischer Prozess
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Swap
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13
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Wang, Xingchun
2
Cousin, Areski
1
Crépey, Stéphane
1
Dong, Ziming
1
Gündüz, Yalın
1
Herbertsson, Alexander
1
Hippert, Benjamin
1
Itkin, Andrey
1
Jönsson, Henrik
1
Kan, Yu Hang
1
Kim, Sung Ik
1
Kim, Young Shin
1
Koziol, Christian
1
Koziol, Philipp
1
Lipton, Alexander
1
Meine, Christian
1
Pelster, Matthias
1
Rathgeber, Andreas W.
1
Rudolph, David
1
Schoutens, Wim
1
Schön, Thomas
1
Stöckl, Stefan
1
Supper, Hendrik
1
Tang, Dan
1
Uhde, André
1
Uhrig-Homburg, Marliese
1
Vilsmeier, Johannes
1
Weiß, Gregor
1
Wengerek, Sascha Tobias
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Review of derivatives research
Journal of banking & finance
62
Journal of financial economics
40
International review of financial analysis
32
Journal of financial stability
32
The journal of fixed income
32
Finance research letters
31
International journal of theoretical and applied finance
31
Journal of international financial markets, institutions & money
29
The journal of credit risk : published quarterly by Incisive Media
25
Journal of international money and finance
23
Journal of empirical finance
22
Management science : journal of the Institute for Operations Research and the Management Sciences
22
NBER working paper series
21
Review of quantitative finance and accounting
21
International review of economics & finance : IREF
20
NBER Working Paper
20
Research paper series / Swiss Finance Institute
20
The North American journal of economics and finance : a journal of financial economics studies
20
Applied economics
19
Finance and economics discussion series
19
Discussion paper
17
Research in international business and finance
17
Discussion papers / CEPR
16
Economic modelling
16
The European journal of finance
16
The journal of futures markets
16
IMF Working Papers
15
Working paper series / European Central Bank
15
Working paper / National Bureau of Economic Research, Inc.
14
ECB Working Paper
13
The journal of finance : the journal of the American Finance Association
12
Working papers / Bank for International Settlements
12
Review of finance : journal of the European Finance Association
11
The journal of corporate finance : contracting, governance and organization
11
The review of financial studies
11
Working paper
11
Discussion paper / Tinbergen Institute
10
Economics letters
10
European financial management : the journal of the European Financial Management Association
10
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ECONIS (ZBW)
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1
Pricing vulnerable basket spread options with liquidity risk
Dong, Ziming
;
Tang, Dan
;
Wang, Xingchun
- In:
Review of derivatives research
26
(
2023
)
1
,
pp. 23-50
Persistent link: https://www.econbiz.de/10014266355
Saved in:
2
Pricing vulnerable options with jump risk and liquidity risk
Wang, Xingchun
- In:
Review of derivatives research
24
(
2021
)
3
,
pp. 243-260
Persistent link: https://www.econbiz.de/10012659671
Saved in:
3
Portfolio benefits of adding corporate credit default swap indices : evidence from North America and Europe
Hippert, Benjamin
;
Uhde, André
;
Wengerek, Sascha Tobias
- In:
Review of derivatives research
22
(
2019
)
2
,
pp. 203-259
Persistent link: https://www.econbiz.de/10012311669
Saved in:
4
The determinants of CDS spreads : evidence from the model space
Pelster, Matthias
;
Vilsmeier, Johannes
- In:
Review of derivatives research
21
(
2018
)
1
,
pp. 63-118
Persistent link: https://www.econbiz.de/10012055732
Saved in:
5
Tempered stable structural model in pricing credit spread and credit default swap
Kim, Sung Ik
;
Kim, Young Shin
- In:
Review of derivatives research
21
(
2018
)
1
,
pp. 119-148
Persistent link: https://www.econbiz.de/10012055733
Saved in:
6
Structural default model with mutual obligations
Itkin, Andrey
;
Lipton, Alexander
- In:
Review of derivatives research
20
(
2017
)
1
,
pp. 15-46
Persistent link: https://www.econbiz.de/10011930552
Saved in:
7
Pricing anomaly at the first sight : same borrower in different currencies faces different credit spreads : an explanation by means of a quanto option
Rathgeber, Andreas W.
;
Rudolph, David
;
Stöckl, Stefan
- In:
Review of derivatives research
18
(
2015
)
2
,
pp. 107-143
Persistent link: https://www.econbiz.de/10011477291
Saved in:
8
Do correlated defaults matter for CDS premia?
Koziol, Christian
;
Koziol, Philipp
;
Schön, Thomas
- In:
Review of derivatives research
18
(
2015
)
3
,
pp. 191-224
Persistent link: https://www.econbiz.de/10011477301
Saved in:
9
Do CDS spreads move with commonality in liquidity?
Meine, Christian
;
Supper, Hendrik
;
Weiß, Gregor
- In:
Review of derivatives research
18
(
2015
)
3
,
pp. 225-261
Persistent link: https://www.econbiz.de/10011477302
Saved in:
10
Does modeling framework matter? : a comparative study of structural and reduced-form models
Gündüz, Yalın
;
Uhrig-Homburg, Marliese
- In:
Review of derivatives research
17
(
2014
)
1
,
pp. 39-78
Persistent link: https://www.econbiz.de/10010519295
Saved in:
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