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  • Search: subject:"Green’s function"
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Subject
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Green’s function 2 ARMA model 1 ARMA process 1 ARMA-Modell 1 CVA 1 Correlation 1 Credit derivative 1 Credit risk 1 Derivat 1 Derivative 1 Estimation theory 1 General solution 1 Hessenbergians 1 Korrelation 1 Kreditderivat 1 Kreditrisiko 1 Option pricing theory 1 Optionspreistheorie 1 Risiko 1 Risikomanagement 1 Risk 1 Risk management 1 Schätztheorie 1 Structural break 1 Strukturbruch 1 Time series analysis 1 Wold-Crámer decomposition 1 Zeitreihenanalyse 1 asymptotic forecasting efficiency 1 correlation risk 1 credit derivatives 1 invertibility 1 model risk 1 model uncertainty 1 perturbation expansion 1 structural breaks 1 symbolic product of operators 1 time dependent persistence 1 time varying models 1
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Online availability
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Free 2
Type of publication
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Article 1 Book / Working Paper 1
Type of publication (narrower categories)
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Arbeitspapier 1 Article in journal 1 Aufsatz in Zeitschrift 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
Language
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English 2
Author
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Canepa, Alessandra 1 Karanasos, Menelaos 1 Paraskevopoulos, Athanasios 1 Turfus, Colin 1
Published in...
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International Journal of Financial Studies : open access journal 1 Working paper series 1
Source
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ECONIS (ZBW) 2
Showing 1 - 2 of 2
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Unified theory for the large family of time varying models with arma representations : one solution fits all
Karanasos, Menelaos; Paraskevopoulos, Athanasios; … - 2020
Persistent link: https://www.econbiz.de/10012387088
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Cover Image
Quantifying correlation uncertainty risk in credit derivatives pricing
Turfus, Colin - In: International Journal of Financial Studies : open … 6 (2018) 2, pp. 1-20
We propose a simple but practical methodology for the quantification of correlation risk in the context of credit derivatives pricing and credit valuation adjustment (CVA), where the correlation between rates and credit is often uncertain or unmodelled. We take the rates model to be Hull-White...
Persistent link: https://www.econbiz.de/10011883430
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