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~person:"Capponi, Agostino"
~person:"Degryse, Hans"
~person:"Wang, Xingchun"
~type_genre:"Article in journal"
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Search: subject:"Kreditrisiko"
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Credit risk
43
Kreditrisiko
43
Option pricing theory
22
Optionspreistheorie
22
Derivat
19
Derivative
19
Theorie
17
Theory
17
Option trading
14
Optionsgeschäft
14
Stochastic process
10
Stochastischer Prozess
10
Insolvency
9
Insolvenz
9
Default risk
8
Volatility
8
Volatilität
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Collateral
7
Credit derivative
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Financial services
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Finanzdienstleistung
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Kreditderivat
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Kreditsicherung
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Portfolio selection
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Portfolio-Management
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Risiko
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Risikoprämie
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credit risk
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ARCH-Modell
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Vulnerable options
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Markov chain
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Markov-Kette
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default risk
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Bank lending
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Counterparty risk
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Kreditgeschäft
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Article in journal
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English
43
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Capponi, Agostino
Degryse, Hans
Wang, Xingchun
Rösch, Daniel
36
Altman, Edward I.
26
Scheule, Harald
26
Ongena, Steven
22
Jarrow, Robert A.
21
Schulte-Mattler, Hermann
21
Crook, Jonathan N.
20
Gouriéroux, Christian
19
Fabozzi, Frank J.
18
Ghosh, Saibal
16
Jacobs, Michael <Jr.>
16
Lucas, André
16
Norden, Lars
16
Saunders, Anthony
16
Andreeva, Galina
15
Brigo, Damiano
15
Hasan, Iftekhar
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
Mues, Christophe
12
Schuermann, Til
12
Tang, Dragon Yongjun
12
Barisitz, Stephan
11
Das, Sanjiv R.
11
Dorfleitner, Gregor
11
Giesecke, Kay
11
Gürtler, Marc
11
Kanno, Masayasu
11
Kupiec, Paul H.
11
Parnes, Dror
11
Saurina, Jesús
11
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Mathematical finance : an international journal of mathematics, statistics and financial theory
5
Review of derivatives research
4
The North American journal of economics and finance : a journal of financial economics studies
4
Applied economics letters
3
Finance and stochastics
3
Finance research letters
3
Mathematics of operations research
3
International journal of theoretical and applied finance
2
Management science : journal of the Institute for Operations Research and the Management Sciences
2
The European journal of finance
2
The journal of futures markets
2
Computational Management Science : CMS
1
International review of economics & finance : IREF
1
Journal of banking & finance
1
Journal of financial and quantitative analysis : JFQA
1
Journal of financial economics
1
Journal of financial stability
1
Journal of monetary economics
1
Mathematical finance : an international journal of mathematics, statistics and financial economics
1
Operations research
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The journal of corporate finance : contracting, governance and organization
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ECONIS (ZBW)
43
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1
Fiscal support and banks' loan loss provisions during the COVID-19 crisis
Degryse, Hans
;
Huylebroek, Cédric
- In:
Journal of financial stability
67
(
2023
),
pp. 1-17
Persistent link: https://www.econbiz.de/10014455487
Saved in:
2
Valuing basket-spread options with default risk under Hawkes jump-diffusion processes
Li, Zelei
;
Tang, Dan
;
Wang, Xingchun
- In:
The European journal of finance
29
(
2023
)
12
,
pp. 1406-1431
Persistent link: https://www.econbiz.de/10014323018
Saved in:
3
Pricing vulnerable basket spread options with liquidity risk
Dong, Ziming
;
Tang, Dan
;
Wang, Xingchun
- In:
Review of derivatives research
26
(
2023
)
1
,
pp. 23-50
Persistent link: https://www.econbiz.de/10014266355
Saved in:
4
Pricing European basket warrants with default risk under stochastic volatility models
Wang, Xingchun
- In:
Applied economics letters
29
(
2022
)
3
,
pp. 253-260
Persistent link: https://www.econbiz.de/10012803500
Saved in:
5
Pricing basket spread options with default risk under Heston-Nandi GARCH models
Wang, Xingchun
;
Zhang, Han
- In:
The North American journal of economics and finance : a …
59
(
2022
),
pp. 1-18
Persistent link: https://www.econbiz.de/10013413519
Saved in:
6
Pricing vulnerable options with stochastic liquidity risk
Wang, Xingchun
- In:
The North American journal of economics and finance : a …
60
(
2022
),
pp. 1-10
Persistent link: https://www.econbiz.de/10013449096
Saved in:
7
Counterparty risk in over-the-counter markets
Frei, Christoph
;
Capponi, Agostino
;
Brunetti, Celso
- In:
Journal of financial and quantitative analysis : JFQA
57
(
2022
)
3
,
pp. 1058-1082
Persistent link: https://www.econbiz.de/10013187330
Saved in:
8
Pricing vulnerable options under correlated skew Brownian motions
Guo, Che
;
Wang, Xingchun
- In:
The journal of futures markets
42
(
2022
)
5
,
pp. 852-867
Persistent link: https://www.econbiz.de/10013187607
Saved in:
9
Valuing fade-in options with default risk in Heston-Nandi GARCH models
Wang, Xingchun
- In:
Review of derivatives research
25
(
2022
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10013191374
Saved in:
10
A theory of collateral requirements for central counterparties
Wang, Jessie Jiaxu
;
Capponi, Agostino
;
Zhang, Hongzhong
- In:
Management science : journal of the Institute for …
68
(
2022
)
9
,
pp. 6993-7017
Persistent link: https://www.econbiz.de/10013373165
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