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~language:"eng"
~language:"fin"
~language:"srp"
~person:"Fabozzi, Frank J."
~subject:"Credit risk"
~type_genre:"Article in journal"
~type_genre:"Aufsatz im Buch"
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Credit risk
Theorie
135
Theory
135
Portfolio selection
111
Portfolio-Management
111
USA
60
United States
60
Option pricing theory
47
Optionspreistheorie
47
CAPM
34
Derivat
33
Derivative
33
Capital income
30
Kapitaleinkommen
30
Volatility
29
Volatilität
29
Asset-Backed Securities
28
Asset-backed securities
28
Kreditrisiko
28
Anleihe
26
Bond
26
Risk management
26
Statistical distribution
26
Statistische Verteilung
26
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26
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Fabozzi, Frank J.
Rösch, Daniel
31
Altman, Edward I.
30
Scheule, Harald
25
Jarrow, Robert A.
22
Ongena, Steven
22
Capponi, Agostino
21
Crook, Jonathan N.
20
Wang, Xingchun
20
Gouriéroux, Christian
19
Jacobs, Michael <Jr.>
18
Acharya, Viral V.
16
Ghosh, Saibal
16
Lucas, André
16
Andreeva, Galina
15
Brigo, Damiano
15
Goodman, Laurie Sharon
15
Hasan, Iftekhar
15
Norden, Lars
15
Saunders, Anthony
15
Thomas, Lyn C.
15
Wu, Chunchi
15
Chi, Guotai
14
Crépey, Stéphane
14
Mayordomo, Sergio
14
Monfort, Alain
14
Schuermann, Til
14
Das, Sanjiv R.
13
Giesecke, Kay
13
Jeanblanc, Monique
13
Resti, Andrea
13
Turnbull, Stuart M.
13
Van Vuuren, Gary
13
Bielecki, Tomasz R.
12
Mues, Christophe
12
Subrahmanyam, Marti G.
12
Tang, Dragon Yongjun
12
Barisitz, Stephan
11
Cathcart, Lara
11
Dorfleitner, Gregor
11
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The journal of fixed income
3
Valuation, financial modeling, and quantitative tools
3
Journal / The Capco Institute : journal of financial transformation
2
The handbook of fixed income securities
2
The handbook of municipal bonds
2
Annals of finance
1
Annals of operations research ; volume 275, numbers 2 (April 2019)
1
Applied financial economics
1
Approaches to enterprise risk management
1
Computational economics
1
European journal of operational research : EJOR
1
Finance research letters
1
Financial markets and instruments
1
International journal of theoretical and applied finance
1
Journal of banking & finance
1
Journal of economic dynamics & control
1
Journal of empirical finance
1
Journal of financial engineering
1
Journal of financial intermediation
1
Journal of financial services research
1
Journal of international money and finance
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ECONIS (ZBW)
28
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1
How much do investors rely on credit ratings : empirical evidence from the U.S. and E.U. CLO primary market
Fabozzi, Frank J.
;
Breemen, Vivian van
;
Vink, Dennis
; …
- In:
Journal of financial services research
63
(
2023
)
2
,
pp. 221-247
Persistent link: https://www.econbiz.de/10014258846
Saved in:
2
Intertemporal defaulted bond recoveries prediction via machine learning
Nazemi, Abdolreza
;
Baumann, Friedrich
;
Fabozzi, Frank J.
- In:
European journal of operational research : EJOR
297
(
2022
)
3
,
pp. 1162-1177
Persistent link: https://www.econbiz.de/10013263044
Saved in:
3
Active loan trading
Fabozzi, Frank J.
;
Klingler, Sven
;
Mølgaard, Pia
; …
- In:
Journal of financial intermediation
46
(
2021
),
pp. 1-17
Persistent link: https://www.econbiz.de/10012818064
Saved in:
4
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:
5
Market implied volatilities for defaultable bonds
Russo, Vincenzo
;
Giacometti, Rosella
;
Fabozzi, Frank J.
-
2019
Persistent link: https://www.econbiz.de/10012008749
Saved in:
6
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:
7
Macroeconomic variable selection for creditor recovery rates
Nazemi, Abdolreza
;
Fabozzi, Frank J.
- In:
Journal of banking & finance
89
(
2018
),
pp. 14-25
Persistent link: https://www.econbiz.de/10011963062
Saved in:
8
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:
9
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:
10
Bilateral counterparty risk valuation adjustment with wrong way risk on collateralized commodity counterparty
Yang, Yifan
;
Fabozzi, Frank J.
;
Bianchi, Michele Leonardo
- In:
Journal of financial engineering
2
(
2015
)
1
,
pp. 1-31
Persistent link: https://www.econbiz.de/10010528392
Saved in:
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