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~language:"eng"
~person:"Fabozzi, Frank J."
~person:"Mues, Christophe"
~subject:"Kreditrisiko"
~type_genre:"Article in journal"
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Kreditrisiko
Theorie
89
Theory
89
Portfolio selection
77
Portfolio-Management
77
USA
38
United States
38
Option pricing theory
35
Optionspreistheorie
35
Credit risk
30
CAPM
27
Volatility
27
Volatilität
27
Stochastic process
25
Stochastischer Prozess
25
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24
Kapitaleinkommen
24
Statistical distribution
21
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21
Estimation
20
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20
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19
Prognoseverfahren
19
Derivat
18
Derivative
18
Risikomaß
18
Risikoprämie
18
Risk measure
18
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18
Risk management
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Credit rating
16
Kreditwürdigkeit
16
Risikomanagement
16
Welt
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14
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Article in journal
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Fabozzi, Frank J.
Mues, Christophe
Rösch, Daniel
31
Altman, Edward I.
25
Scheule, Harald
25
Jarrow, Robert A.
21
Ongena, Steven
21
Capponi, Agostino
20
Crook, Jonathan N.
20
Wang, Xingchun
20
Gouriéroux, Christian
17
Ghosh, Saibal
16
Jacobs, Michael <Jr.>
16
Lucas, André
16
Andreeva, Galina
15
Brigo, Damiano
15
Hasan, Iftekhar
15
Norden, Lars
15
Saunders, Anthony
15
Thomas, Lyn C.
15
Wu, Chunchi
15
Acharya, Viral V.
14
Chi, Guotai
14
Mayordomo, Sergio
14
Monfort, Alain
13
Turnbull, Stuart M.
13
Van Vuuren, Gary
13
Goodman, Laurie Sharon
12
Schuermann, Til
12
Tang, Dragon Yongjun
12
Barisitz, Stephan
11
Das, Sanjiv R.
11
Dorfleitner, Gregor
11
Giesecke, Kay
11
Kanno, Masayasu
11
Kupiec, Paul H.
11
Parnes, Dror
11
Wu, Eliza
11
Zhang, Gaiyan
11
Calabrese, Raffaella
10
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European journal of operational research : EJOR
7
International journal of forecasting
4
The journal of fixed income
3
Journal / The Capco Institute : journal of financial transformation
2
Annals of finance
1
Applied financial economics
1
Computational economics
1
Finance research letters
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
1
Journal of the Operational Research Society : OR
1
The journal of credit risk : published quarterly by Incisive Media
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ECONIS (ZBW)
30
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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
A mixture model for credit card exposure at default using the GAMLSS framework
Wattanawongwan, Suttisak
;
Mues, Christophe
;
Okhrati, Ramin
- In:
International journal of forecasting
39
(
2023
)
1
,
pp. 503-518
Persistent link: https://www.econbiz.de/10014462794
Saved in:
3
Modelling credit card exposure at default using vine copula quantile regression
Wattanawongwan, Suttisak
;
Mues, Christophe
;
Okhrati, Ramin
- In:
European journal of operational research : EJOR
311
(
2023
)
1
,
pp. 387-399
Persistent link: https://www.econbiz.de/10014336533
Saved in:
4
A transformer-based model for default prediction in mid-cap corporate markets
Korangi, Kamesh
;
Mues, Christophe
;
Bravo, Cristián
- In:
European journal of operational research : EJOR
308
(
2023
)
1
,
pp. 306-320
Persistent link: https://www.econbiz.de/10014283041
Saved in:
5
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:
6
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:
7
The value of text for small business default prediction : a deep learning approach
Stevenson, Matthew
;
Mues, Christophe
;
Bravo, Cristián
- In:
European journal of operational research : EJOR
295
(
2021
)
2
,
pp. 758-771
Persistent link: https://www.econbiz.de/10013206023
Saved in:
8
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:
9
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:
10
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:
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