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~isPartOf:"The journal of financial market infrastructures"
~subject:"Kreditrisiko"
~subject:"Portfolio-Management"
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Kreditrisiko
Portfolio-Management
Credit risk
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Multivariate Verteilung
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Credit derivative
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Derivat
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Derivative
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Kreditderivat
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Swap
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Student t DCC copula
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central counterparties (CCPs)
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copulas
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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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initial margin (IM)
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nonparametric stress sce-narios
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Bhanu, Aniket
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Cheruvelil, Roy M.
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Ivanov, Stanislav
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Li, David
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The journal of financial market infrastructures
Insurance / Mathematics & economics
22
Applied economics
17
The North American journal of economics and finance : a journal of financial economics studies
14
Economic modelling
13
Journal of banking & finance
12
Energy economics
10
European journal of operational research : EJOR
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International journal of theoretical and applied finance
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Journal of empirical finance
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Journal of risk
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Journal of risk and financial management : JRFM
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Finance research letters
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Quantitative finance
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International review of financial analysis
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Computational economics
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SFB 649 discussion paper
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Risks : open access journal
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The European journal of finance
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The journal of credit risk : published quarterly by Incisive Media
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Applied mathematical finance
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Discussion paper
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Finance and stochastics
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International journal of forecasting
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International review of economics & finance : IREF
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Journal of international financial markets, institutions & money
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Journal of risk management in financial institutions
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Pacific-Basin finance journal
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Research in international business and finance
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The journal of asset management : a major new, international quarterly journal for the financial community
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Agricultural finance review
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Cahiers d'etudes / Banque Centrale du Luxembourg
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Discussion paper / Deutsche Bundesbank
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Financial markets and portfolio management
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Reihe Quantitative Ökonomie : Ökon
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Review of derivatives research
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The journal of asset management
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The journal of fixed income
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The journal of futures markets
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Tinbergen Institute research series
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Construction of hypothetical scenarios for central counterparty stress tests using vine copulas
Bhanu, Aniket
;
Virmani, Vineet
- In:
The journal of financial market infrastructures
10
(
2022
)
4
,
pp. 29-53
Persistent link: https://www.econbiz.de/10014538750
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2
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
Saved in:
3
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
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