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~language:"ell"
~language:"eng"
~language:"ukr"
~person:"Fabozzi, Frank J."
~person:"Giacometti, Rosella"
~subject:"Credit derivative"
~type_genre:"Article in journal"
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Credit derivative
Theorie
87
Theory
87
Portfolio selection
81
Portfolio-Management
81
USA
40
United States
40
Option pricing theory
35
Optionspreistheorie
35
CAPM
28
Volatility
27
Volatilität
27
Stochastic process
25
Stochastischer Prozess
25
Capital income
24
Kapitaleinkommen
24
Statistical distribution
24
Statistische Verteilung
24
Credit risk
23
Kreditrisiko
23
Estimation
22
Schätzung
22
Risikomaß
20
Risk measure
20
Risk management
19
Derivat
18
Derivative
18
Kreditderivat
18
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18
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18
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18
Welt
18
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18
Forecasting model
16
Prognoseverfahren
16
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14
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14
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Modern Greek (1453-)
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Fabozzi, Frank J.
Giacometti, Rosella
Hammoudeh, Shawkat
18
Tang, Dragon Yongjun
12
Kiesel, Florian
11
Shahzad, Syed Jawad Hussain
11
Zhang, Gaiyan
11
Augustin, Patrick
10
Naifar, Nader
10
Schiereck, Dirk
10
Silva, Paulo Pereira da
10
Scheicher, Martin
9
Zhong, Zhaodong
9
Apergēs, Nikolaos
8
Calice, Giovanni
8
Capponi, Agostino
8
Gex, Mathieu
8
Wang, Xinjie
8
Zhu, Lu
8
Chen, Ren-Raw
7
Hamori, Shigeyuki
7
Hull, John
7
Li, Jianping
7
Lovreta, Lidija
7
Mayordomo, Sergio
7
Park, Yuen Jung
7
Pavlova, Ivelina
7
Subrahmanyam, Marti G.
7
Sun, Xiaolei
7
White, Alan
7
Adelson, Mark
6
Benbouzid, Nadia
6
Bouri, Elie
6
Brigo, Damiano
6
Cathcart, Lara
6
Coudert, Virginie
6
DeBoyrie, Maria Eugenia
6
Hu, Nan
6
Jacobs, Kris
6
Jahel, Lina el
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The journal of fixed income
4
4OR : a quarterly journal of operations research
1
Annals of finance
1
Applied financial economics
1
Computational economics
1
Computational management science
1
Economics letters
1
European journal of operational research : EJOR
1
Finance research letters
1
Journal of economic dynamics & control
1
Journal of empirical finance
1
Journal of financial and quantitative analysis : JFQA
1
Journal of international money and finance
1
Journal of the Operational Research Society
1
The journal of structured finance
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ECONIS (ZBW)
18
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1
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10
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18
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1
Application of the Merton model to estimate the probability of breaching the capital requirements under Basel III rules
Russo, Vincenzo
;
Lagasio, Valentina
;
Brogi, Marina
; …
- In:
Annals of finance
16
(
2020
)
1
,
pp. 141-157
Persistent link: https://www.econbiz.de/10012495982
Saved in:
2
Risk attribution and interconnectedness in the EU via CDS data
Giacometti, Rosella
;
Torri, Gabriele
;
Farina, G.
;
De …
- In:
Computational management science
17
(
2020
)
4
,
pp. 549-567
Persistent link: https://www.econbiz.de/10012486984
Saved in:
3
Systemic risk attribution in the EU
Farina, G.
;
Giacometti, Rosella
;
De Giuli, Maria Elena
- In:
Journal of the Operational Research Society
70
(
2019
)
7
,
pp. 1115-1128
Persistent link: https://www.econbiz.de/10012213607
Saved in:
4
Local volatility and the recovery rate of credit default swaps
Jansen, Jeroen
;
Das, Sanjiv R.
;
Fabozzi, Frank J.
- In:
Journal of economic dynamics & control
92
(
2018
),
pp. 1-29
Persistent link: https://www.econbiz.de/10011974230
Saved in:
5
Robust and sparse banking network estimation
Torri, Gabriele
;
Giacometti, Rosella
;
Paterlini, Sandra
- In:
European journal of operational research : EJOR
270
(
2018
)
1
,
pp. 51-65
Persistent link: https://www.econbiz.de/10011868914
Saved in:
6
CDS implied credit ratings
Jansen, Jeroen
;
Fabozzi, Frank J.
- In:
The journal of fixed income
26
(
2017
)
4
,
pp. 25-52
Persistent link: https://www.econbiz.de/10011684760
Saved in:
7
Predictability dynamics of emerging sovereign CDS markets
Sensoy, Ahmet
;
Fabozzi, Frank J.
;
Eraslan, Veysel
- In:
Economics letters
161
(
2017
),
pp. 5-9
Persistent link: https://www.econbiz.de/10011903820
Saved in:
8
Factor decomposition of the Eurozone sovereign CDS spreads
Fabozzi, Frank J.
;
Giacometti, Rosella
;
Tsuchida, Naoshi
- In:
Journal of international money and finance
65
(
2016
),
pp. 1-23
Persistent link: https://www.econbiz.de/10011668394
Saved in:
9
Investigating the performance of non-gaussian stochastic intensity models in the calibration of credit default swap spreads
Bianchi, Michele Leonardo
;
Fabozzi, Frank J.
- In:
Computational economics
46
(
2015
)
2
,
pp. 243-273
Persistent link: https://www.econbiz.de/10011478467
Saved in:
10
Credit default swaps : implied ratings versus official ones
Castellano, Rosella
;
Giacometti, Rosella
- In:
4OR : a quarterly journal of operations research
10
(
2012
)
2
,
pp. 163-180
Persistent link: https://www.econbiz.de/10010218799
Saved in:
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