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~language:"eng"
~person:"Fabozzi, Frank J."
~subject:"Credit risk"
~type_genre:"Article in journal"
~type_genre:"Research Report"
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Credit risk
Theorie
83
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83
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77
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77
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38
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38
Option pricing theory
35
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35
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27
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27
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27
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24
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24
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21
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18
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Fabozzi, Frank J.
Rösch, Daniel
31
Altman, Edward I.
26
Scheule, Harald
25
Jarrow, Robert A.
21
Ongena, Steven
21
Capponi, Agostino
20
Crook, Jonathan N.
20
Wang, Xingchun
20
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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
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12
Mues, Christophe
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
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10
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3
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2
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1
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1
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1
European journal of operational research : EJOR
1
Finance research letters
1
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1
Journal of banking & finance
1
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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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date (oldest first)
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
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:
6
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:
7
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:
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
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:
10
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:
1
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