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  • Search: subject:"counterparty exposure"
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Year of publication
Subject
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counterparty exposure 5 Bank risk 4 Bankrisiko 4 Credit risk 4 Kreditrisiko 4 Risikomanagement 4 Risk management 4 Derivat 3 Derivative 3 Risiko 3 Risikomaß 3 Risk 3 Risk measure 3 Basel Accord 2 Basler Akkord 2 counterparty risk 2 wrong-way risk 2 American options 1 Ansteckungseffekt 1 BASEL III 1 Bank lending 1 Bankenkrise 1 Banking crisis 1 Basel II 1 CVA engine 1 Contagion 1 Contagion effect 1 Counterparty exposure 1 Credit default swaps 1 Credit derivative 1 Credit insurance 1 FX volatility 1 FX volatility adjustment 1 Financial crisis 1 Financial networks 1 Finanzkrise 1 Kreditderivat 1 Kreditgeschäft 1 Kreditversicherung 1 Management Sciences and Quantitative Methods 1
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Online availability
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Undetermined 2 Free 1
Type of publication
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Article 5 Other 1
Type of publication (narrower categories)
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Article in journal 4 Aufsatz in Zeitschrift 4
Language
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English 4 Undetermined 2
Author
All
Cetina, Jill 1 Chen, Wei 1 Einemann, Michael 1 Kalkbrener, Michael 1 Kan, Kin Hung 1 Kondratyev, Alexei 1 Noh, Jaesun 1 Paddrik, Mark 1 Rajan, Sriram 1 Skoglund, Jimmy 1 Vestal, Doug 1
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Published in...
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Global economic review 1 Journal of Financial Transformation 1 Journal of financial stability 1 Journal of risk management in financial institutions 1 The journal of credit risk : published quarterly by Incisive Media 1
Source
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ECONIS (ZBW) 4 BASE 1 RePEc 1
Showing 1 - 6 of 6
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A sensitivity analysis of the alpha factor
Einemann, Michael; Kalkbrener, Michael - In: The journal of credit risk : published quarterly by … 16 (2020) 1, pp. 49-70
Persistent link: https://www.econbiz.de/10012298981
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Stressed to the core : counterparty concentrations and systemic losses in CDS markets
Cetina, Jill; Paddrik, Mark; Rajan, Sriram - In: Journal of financial stability 35 (2018), pp. 38-52
Persistent link: https://www.econbiz.de/10012156834
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Simulation-based Valuation and Counterparty Exposure Estimation of American Options
Kan, Kin Hung - 2010
Valuing American options is a central problem in option pricing since the early-exercise feature is very common among financial or insurance derivatives products. For high-dimensional American options, Monte Carlo simulation is generally regarded as the only viable approach to price them, and...
Persistent link: https://www.econbiz.de/10009447254
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FX volatility adjustment for risk factors stimulation
Kondratyev, Alexei - In: Journal of Financial Transformation 37 (2013), pp. 111-116
on counterparty exposure numbers is quantified. …
Persistent link: https://www.econbiz.de/10010840638
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Credit valuation adjustment tail risk and the impact of wrong way trades
Skoglund, Jimmy; Vestal, Doug; Chen, Wei - In: Journal of risk management in financial institutions 6 (2012/13) 3, pp. 280-310
Persistent link: https://www.econbiz.de/10010197071
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BASEL III counterparty risk and credit value adjustment: impact of the Wrong-way risk
Noh, Jaesun - In: Global economic review 42 (2013) 4, pp. 346-361
Persistent link: https://www.econbiz.de/10010251884
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