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isPartOf:"International journal of theoretical and applied finance"
~subject:"Multivariate Verteilung"
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Multivariate Verteilung
Credit derivative
30
Kreditderivat
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Credit risk
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Kreditrisiko
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Theorie
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Theory
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Derivat
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Derivative
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Multivariate distribution
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counterparty risk
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credit default swap
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credit default swaps
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Jeanblanc, Monique
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Bielecki, Tomasz R.
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Ehrhardt, Matthias
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Günther, Michael
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International journal of theoretical and applied finance
The North American journal of economics and finance : a journal of financial economics studies
4
Review of derivatives research
3
The journal of credit risk : published quarterly by Incisive Media
3
Applied economics
2
Applied mathematical finance
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BestMasters
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Journal of banking & finance
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The journal of financial market infrastructures
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The journal of futures markets
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Decisions in economics and finance : a journal of applied mathematics
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Finance research letters
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Financial markets and asset pricing
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IES working paper
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IMA journal of management mathematics
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IMES discussion paper series / Englische Ausgabe
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International economics : a journal published by CEPII (Center for research and expertise on the world economy)
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International journal of economics, finance and management sciences : IJEFM
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International journal of financial research
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International journal of forecasting
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International review of financial analysis
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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1
Factor copula model for portfolio credit risk
Kim, Sung Ik
;
Kim, Young Shin
- In:
International journal of theoretical and applied finance
24
(
2021
)
4
,
pp. 1-25
Persistent link: https://www.econbiz.de/10012652691
Saved in:
2
Bilateral counterparty risk valuation of CDS contracts with simultaneous defaults
Teng, Long
;
Ehrhardt, Matthias
;
Günther, Michael
- In:
International journal of theoretical and applied finance
16
(
2013
)
7
,
pp. 1-20
Persistent link: https://www.econbiz.de/10010233305
Saved in:
3
Informationally dynamized Gaussian copula
Crépey, S.
;
Jeanblanc, Monique
;
Wu, Dong Li
- In:
International journal of theoretical and applied finance
16
(
2013
)
2
,
pp. 1-29
Persistent link: https://www.econbiz.de/10009748717
Saved in:
4
Valuation and hedging of CDS counterparty exposure in a Markov copula model
Bielecki, Tomasz R.
;
Crépey, S.
;
Jeanblanc, Monique
; …
- In:
International journal of theoretical and applied finance
15
(
2012
)
1
,
pp. 1-39
Persistent link: https://www.econbiz.de/10009562148
Saved in:
5
Counterparty risk for credit default swaps : impact of spread volatility and default correlation
Brigo, Damiano
;
Chourdakis, Kyriakos
- In:
International journal of theoretical and applied finance
12
(
2009
)
7
,
pp. 1007-1026
Persistent link: https://www.econbiz.de/10003928780
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