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  • Search: subject:"default compensator"
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Year of publication
Subject
All
default compensator 4 Credit risk 2 Kreditrisiko 2 Option pricing theory 2 Optionspreistheorie 2 correlated defaults 2 simulation 2 Anleihe 1 Arbitrage 1 Arbitrage Pricing 1 Arbitrage pricing 1 Bond 1 Derivat 1 Derivative 1 Financial analysis 1 Financial market 1 Finanzanalyse 1 Finanzmarkt 1 HJM 1 Insolvency 1 Insolvenz 1 Martingal 1 Martingale 1 Risikoprämie 1 Risk premium 1 Stochastic process 1 Stochastischer Prozess 1 Theorie 1 Theory 1 Yield curve 1 Zinsstruktur 1 arbitrage 1 forward rate 1 large financial market 1 recovery 1 stochastic discontinuities 1 term structure model 1
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Online availability
All
Free 2 Undetermined 1
Type of publication
All
Book / Working Paper 3 Article 1
Type of publication (narrower categories)
All
Working Paper 2 Arbeitspapier 1 Article in journal 1 Aufsatz in Zeitschrift 1 Graue Literatur 1 Non-commercial literature 1
Language
All
English 3 Undetermined 1
Author
All
Giesecke, Kay 3 Gümbel, Sandrine 1 Schmidt, Thorsten 1
Institution
All
Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät 1
Published in...
All
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse 1 International journal of theoretical and applied finance 1 SFB 373 Discussion Paper 1 SFB 373 Discussion Papers 1
Source
All
ECONIS (ZBW) 2 EconStor 1 RePEc 1
Showing 1 - 4 of 4
Cover Image
Defaultable term structures driven by semimartingales
Gümbel, Sandrine; Schmidt, Thorsten - In: International journal of theoretical and applied finance 24 (2021) 6/7, pp. 1-27
Persistent link: https://www.econbiz.de/10012807871
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Cover Image
Compensator-based simulation of correlated defaults
Giesecke, Kay - 2002
The market for derivatives with payoffs contingent on the credit quality of a number of reference entities has grown considerably over recent years. The risk analysis and valuation of such multi-name structures often relies on simulating the performance of the underlying credits. In this paper...
Persistent link: https://www.econbiz.de/10010310560
Saved in:
Cover Image
Compensator-based simulation of correlated defaults
Giesecke, Kay - Sonderforschungsbereich 373, Quantifikation und … - 2002
The market for derivatives with payoffs contingent on the credit quality of a number of reference entities has grown considerably over recent years. The risk analysis and valuation of such multi-name structures often relies on simulating the performance of the underlying credits. In this paper...
Persistent link: https://www.econbiz.de/10010956590
Saved in:
Cover Image
Credit risk modeling and valuation : an introduction
Giesecke, Kay - 2002
Persistent link: https://www.econbiz.de/10001697727
Saved in:
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