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~person:"Capponi, Agostino"
~person:"Degryse, Hans"
~subject:"Theorie"
~type_genre:"Article in journal"
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Capponi, Agostino
Degryse, Hans
Jarrow, Robert A.
14
Crook, Jonathan N.
13
Gouriéroux, Christian
13
Brigo, Damiano
10
Jacobs, Michael <Jr.>
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Mathematical finance : an international journal of mathematics, statistics and financial theory
4
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3
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2
International journal of theoretical and applied finance
2
Management science : journal of the Institute for Operations Research and the Management Sciences
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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
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:
3
Risk-sensitive asset management and cascading defaults
Birge, John R.
;
Bo, Lijun
;
Capponi, Agostino
- In:
Mathematics of operations research
43
(
2018
)
1
,
pp. 1-28
Persistent link: https://www.econbiz.de/10011818644
Saved in:
4
Clearinghouse margin requirements
Capponi, Agostino
;
Cheng, W. Allen
- In:
Operations research
66
(
2018
)
6
,
pp. 1542-1558
Persistent link: https://www.econbiz.de/10011971659
Saved in:
5
Optimal credit investment with borrowing costs
Bo, Lijun
;
Capponi, Agostino
- In:
Mathematics of operations research
42
(
2017
)
2
,
pp. 546-575
Persistent link: https://www.econbiz.de/10011684545
Saved in:
6
Systemic influences on optimal equity-credit investment
Capponi, Agostino
;
Frei, Christoph
- In:
Management science : journal of the Institute for …
63
(
2017
)
8
,
pp. 2756-2771
Persistent link: https://www.econbiz.de/10011741445
Saved in:
7
Robust optimization of credit portfolios
Bo, Lijun
;
Capponi, Agostino
- In:
Mathematics of operations research
42
(
2017
)
1
,
pp. 30-56
Persistent link: https://www.econbiz.de/10011654555
Saved in:
8
Optimal investment in credit derivatives portfolio under contagion risk
Bo, Lijun
;
Capponi, Agostino
- In:
Mathematical finance : an international journal of …
26
(
2016
)
4
,
pp. 785-834
Persistent link: https://www.econbiz.de/10011583805
Saved in:
9
Dynamic credit investment in partially observed markets
Capponi, Agostino
;
Figueroa-López, José E.
;
Pascucci, …
- In:
Finance and stochastics
19
(
2015
)
4
,
pp. 891-939
Persistent link: https://www.econbiz.de/10011421091
Saved in:
10
Default and systemic risk in equilibrium
Capponi, Agostino
;
Larsson, Martin
- In:
Mathematical finance : an international journal of …
25
(
2015
)
1
,
pp. 51-76
Persistent link: https://www.econbiz.de/10011347251
Saved in:
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