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~isPartOf:"The journal of financial market infrastructures"
~subject:"Kreditrisiko"
~type_genre:"Aufsatz in Zeitschrift"
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Kreditrisiko
Credit risk
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Multivariate Verteilung
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Multivariate distribution
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Derivat
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Derivative
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Kreditderivat
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Swap
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ARCH model
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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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portfolio risk
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Aufsatz in Zeitschrift
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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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Virmani, Vineet
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The journal of financial market infrastructures
International journal of theoretical and applied finance
9
Journal of risk
5
Economic modelling
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European journal of operational research : EJOR
4
Insurance / Mathematics & economics
4
Journal of risk and financial management : JRFM
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Journal of risk management in financial institutions
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The North American journal of economics and finance : a journal of financial economics studies
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The journal of credit risk : published quarterly by Incisive Media
4
Applied economics
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Applied mathematical finance
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Journal of empirical finance
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Journal of international financial markets, institutions & money
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Annals of economics and statistics
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Applied economics letters
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Bulletin of monetary economics and banking
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Computational economics
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Financial markets, institutions & instruments
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Pacific-Basin finance journal
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Review of quantitative finance and accounting
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American journal of agricultural economics
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China finance review international
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Cogent economics & finance
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Copernican Journal of Finance & Accounting : CJF&A
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Decisions in economics and finance : a journal of applied mathematics
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Economics : the open-access, open-assessment journal
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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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