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~person:"Capponi, Agostino"
~person:"Degryse, Hans"
~subject:"Kreditsicherung"
~type_genre:"Article in journal"
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Search: subject:"Kreditrisiko"
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Kreditsicherung
Credit risk
23
Kreditrisiko
23
Theorie
15
Theory
15
Credit derivative
7
Derivat
7
Derivative
7
Insolvency
7
Insolvenz
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Kreditderivat
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Portfolio selection
7
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Collateral
5
Financial services
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Finanzdienstleistung
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credit risk
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Kreditgeschäft
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Markov chain
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Markov-Kette
3
Option pricing theory
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Optionspreistheorie
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Stochastic process
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Stochastischer Prozess
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credit default swaps
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Counterparty risk
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Credit default swaps
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Dynamic programming
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Finanzmarktregulierung
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Risikomanagement
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Systemrisiko
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collateral
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default correlation
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dynamic portfolio optimization
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regime-switching models
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Capponi, Agostino
Degryse, Hans
Brigo, Damiano
6
Boos, Karl-Heinz
5
Fabozzi, Frank J.
5
Schulte-Mattler, Hermann
5
Jarrow, Robert A.
4
Pallavicini, Andrea
4
Takino, Kazuhiro
4
Benmelech, Efraim
3
Heider, Florian
3
Hoerova, Marie
3
Iliopulos, Eleni
3
Lin, Li
3
Phelan, Gregory
3
Shah, Manan
3
Sopraseuth, Thepthida
3
Tsomocos, Dimitrios P.
3
Andersen, Leif B. G.
2
Bertomeu, Jeremy
2
Blazy, Régis
2
Caselli, Stefano
2
Cole, Duke
2
Dlugosz, Jennifer
2
Doerner, William M.
2
Frame, W. Scott
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Gai, Lorenzo
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Geanakoplos, John
2
Gong, Feixue
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Gorton, Gary
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Griffin, John M.
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Gürtler, Marc
2
Heithecker, Dirk
2
Helberg, Stig
2
Ielasi, Federica
2
Iscoe, Ian
2
Jabłecki, Juliusz
2
Larson, William
2
Lindset, Snorre
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Martin, Antoine
2
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International journal of theoretical and applied finance
1
Journal of financial economics
1
Journal of monetary economics
1
Management science : journal of the Institute for Operations Research and the Management Sciences
1
Mathematical finance : an international journal of mathematics, statistics and financial theory
1
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ECONIS (ZBW)
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1
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
Saved in:
2
The collateral rule : evidence from the credit default swap market
Capponi, Agostino
;
Cheng, Wan-Schwin Allen
;
Giglio, Stefano
- In:
Journal of monetary economics
126
(
2022
),
pp. 58-86
Persistent link: https://www.econbiz.de/10013364919
Saved in:
3
To ask or not to ask? : bank capital requirements and loan collateralization
Degryse, Hans
;
Karapetyan, Artashes
;
Karmakar, Sudipto
- In:
Journal of financial economics
142
(
2021
)
1
,
pp. 239-260
Persistent link: https://www.econbiz.de/10012650706
Saved in:
4
Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps
Brigo, Damiano
;
Capponi, Agostino
;
Pallavicini, Andrea
- In:
Mathematical finance : an international journal of …
24
(
2014
)
1
,
pp. 125-146
Persistent link: https://www.econbiz.de/10010256178
Saved in:
5
Pricingcounterparty risk including collateralization, netting rules, re-hypothecation and wrong-way risk
Brigo, Damiano
;
Capponi, Agostino
;
Pallavicini, Andrea
; …
- In:
International journal of theoretical and applied finance
16
(
2013
)
2
,
pp. 1-16
Persistent link: https://www.econbiz.de/10009748723
Saved in:
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