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~language:"eng"
~person:"Fabozzi, Frank J."
~person:"Jarrow, Robert A."
~subject:"Asset-Backed Securities"
~subject:"Kreditrisiko"
~subject:"Stochastic process"
~type_genre:"Article in journal"
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Asset-Backed Securities
Kreditrisiko
Stochastic process
Theorie
188
Theory
188
Portfolio selection
100
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100
CAPM
61
USA
59
United States
59
Option pricing theory
58
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58
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41
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Fabozzi, Frank J.
Jarrow, Robert A.
Escudero, Laureano F.
40
McAleer, Michael
33
Rösch, Daniel
33
Siu, Tak Kuen
31
Escobar, Marcos
30
Wang, Xingchun
29
Carr, Peter
28
Madan, Dilip B.
27
Scheule, Harald
27
Altman, Edward I.
25
Gendreau, Michel
25
Gouriéroux, Christian
25
Hainaut, Donatien
24
Phillips, Peter C. B.
24
Goodman, Laurie Sharon
23
Brigo, Damiano
22
Elliott, Robert J.
22
Wong, Hoi Ying
22
Asai, Manabu
21
Benth, Fred Espen
21
Capponi, Agostino
21
Lucas, André
21
Ongena, Steven
21
Račev, Svetlozar T.
21
Wallace, Stein W.
21
Wong, Wing Keung
21
Zagst, Rudi
21
Crook, Jonathan N.
20
Cui, Zhenyu
20
Jeanblanc, Monique
20
Takahashi, Akihiko
20
Tsionas, Efthymios G.
20
Tauchen, George Eugene
19
Todorov, Viktor
19
Yu, Jun
19
Shapiro, Alexander
18
Jacobs, Michael <Jr.>
17
Koopman, Siem Jan
17
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The journal of fixed income
11
International journal of theoretical and applied finance
8
Finance research letters
4
Computational economics
3
Journal of banking & finance
3
Review of derivatives research
3
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2
European financial management : the journal of the European Financial Management Association
2
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2
Journal / The Capco Institute : journal of financial transformation
2
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2
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2
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2
Mathematical finance : an international journal of mathematics, statistics and financial theory
2
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2
The journal of structured finance
2
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2
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1
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1
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1
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Real estate economics : journal of the American Real Estate and Urban Economics Association
1
The European journal of finance
1
The journal of fixed income : JFI
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ECONIS (ZBW)
79
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1
A bottom-up, reduced form credit risk model approach for the determination of collateralised loan obligation capital
Jarrow, Robert A.
;
Deventer, Donald R. van
- In:
Journal of risk management in financial institutions
16
(
2022/2023
)
3
,
pp. 237-255
Persistent link: https://www.econbiz.de/10014320229
Saved in:
2
Futures contract collateralization and its implications
Jarrow, Robert A.
;
Kwok, Simon Sai Man
- In:
Journal of empirical finance
74
(
2023
),
pp. 1-25
Persistent link: https://www.econbiz.de/10014477096
Saved in:
3
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:
4
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:
5
Option pricing in an investment risk-return setting
Stoyanov, Stoyan V.
;
Račev, Svetlozar T.
;
Shirvani, …
- In:
Applied economics
54
(
2022
)
14
,
pp. 1625-1638
Persistent link: https://www.econbiz.de/10012875529
Saved in:
6
Primer on agency mortgage-backed securities specified pools and their convexity profiles
Schultz, Glenn M.
;
Fabozzi, Frank J.
- In:
The journal of fixed income : JFI
31
(
2022
)
4
,
pp. 33-49
Persistent link: https://www.econbiz.de/10014231339
Saved in:
7
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:
8
Concavity, stochastic utility, and risk aversion
Jarrow, Robert A.
;
Li, Siguang
- In:
Finance and stochastics
25
(
2021
)
2
,
pp. 311-330
Persistent link: https://www.econbiz.de/10012499688
Saved in:
9
Multiple subordinated modeling of asset returns : implications for option pricing
Shirvani, Abootaleb
;
Račev, Svetlozar T.
;
Fabozzi, Frank J.
- In:
Econometric reviews
40
(
2021
)
3
,
pp. 290-319
Persistent link: https://www.econbiz.de/10012515600
Saved in:
10
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
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