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isPartOf:"The journal of derivatives : the official publication of the International Association of Financial Engineers"
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The journal of derivatives : the official publication of the International Association of Financial Engineers
Journal of banking & finance
474
The journal of credit risk : published quarterly by Incisive Media
162
Journal of financial stability
156
Finance research letters
146
NBER working paper series
130
The journal of fixed income
122
Journal of financial economics
116
Journal of risk management in financial institutions
116
International review of financial analysis
112
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112
International journal of theoretical and applied finance
108
Discussion papers / CEPR
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NBER Working Paper
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Finance and economics discussion series
93
European journal of operational research : EJOR
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Discussion paper / Centre for Economic Policy Research
86
International review of economics & finance : IREF
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IMF working papers
84
Journal of international financial markets, institutions & money
84
The journal of risk model validation
83
Discussion paper
81
Risks : open access journal
81
Review of quantitative finance and accounting
76
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75
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74
Journal of financial services research : JFSR
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Research paper series / Swiss Finance Institute
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ECB Working Paper
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Research in international business and finance
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Journal of financial intermediation
69
The journal of structured finance
69
The European journal of finance
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The North American journal of economics and finance : a journal of financial economics studies
67
Working papers / Federal Reserve Bank of Philadelphia, Research Department
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The journal of real estate finance and economics
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Management science : journal of the Institute for Operations Research and the Management Sciences
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SpringerLink / Bücher
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1
Asymmetric dynamics between informed trading activity and credit default swaps
Hu, Wen-Cheng
;
Huang, Alex
- In:
The journal of derivatives : the official publication …
26
(
2018
)
2
,
pp. 70-85
Persistent link: https://www.econbiz.de/10011968700
Saved in:
2
Counterparty risk minimization by the optimal netting of OTC derivative trades
O'Kane, Dominic
- In:
The journal of derivatives : the official publication …
24
(
2016
)
2
,
pp. 48-65
Persistent link: https://www.econbiz.de/10011687335
Saved in:
3
A modified reduced-form model with time-varying default and recovery rates and its applications in pricing convertible bonds
Wang, Jr-Yan
;
Dai, Tian-Shyr
- In:
The journal of derivatives : the official publication …
24
(
2017
)
4
,
pp. 52-79
Persistent link: https://www.econbiz.de/10011687427
Saved in:
4
Modeling term structure of default correlation
Suchintabandid, Sira
- In:
The journal of derivatives : the official publication …
22
(
2015
)
4
,
pp. 26-36
Persistent link: https://www.econbiz.de/10011399738
Saved in:
5
Credit exposure and valuation of revolving credit lines
Jones, Robert
;
Wu, Yan Wendy
- In:
The journal of derivatives : the official publication …
22
(
2015
)
4
,
pp. 37-53
Persistent link: https://www.econbiz.de/10011399777
Saved in:
6
Corporate vulnerability index as a fear gauge? : exploring the contagion effect between US and Korean markets
Kim, Jun Sik
;
Ryu, Doojin
;
Seo, Sung Won
- In:
The journal of derivatives : the official publication …
23
(
2015
)
1
,
pp. 73-88
Persistent link: https://www.econbiz.de/10011399809
Saved in:
7
A simple model of correlated defaults with application to repo portfolios
Gatarek, Dariusz
;
Jabłecki, Juliusz
- In:
The journal of derivatives : the official publication …
23
(
2015
)
1
,
pp. 8-23
Persistent link: https://www.econbiz.de/10011404518
Saved in:
8
Interest rate swap credit valuation adjustment
Černý, Jakub
;
Witzany, Jiří
- In:
The journal of derivatives : the official publication …
23
(
2015
)
1
,
pp. 24-35
Persistent link: https://www.econbiz.de/10011404521
Saved in:
9
Demystifying credit risk derivatives and securitization : introducing the basic ideas to undergraduates
Cifuentes, Arturo
;
Pagnoncelli, Bernardo K.
- In:
The journal of derivatives : the official publication …
22
(
2014
)
2
,
pp. 110-118
Persistent link: https://www.econbiz.de/10011311414
Saved in:
10
Counterparty credit risk and American options
Klein, Peter
;
Yang, Jun
- In:
The journal of derivatives : the official publication …
20
(
2013
)
4
,
pp. 7-21
Persistent link: https://www.econbiz.de/10009760552
Saved in:
11
A closed-form pricing formula for mortgages incorporating termination hazard rates and recovery rate correlated stochastic processes with jump components
Tsai, Ming-shann
;
Chiang, Shu-ling
- In:
The journal of derivatives : the official publication …
19
(
2012
)
3
,
pp. 49-68
Persistent link: https://www.econbiz.de/10009671107
Saved in:
12
The impact of margin interest on the valuation of credit default swaps
Kan, Yu Hang
;
Pedersen, Claus
- In:
The journal of derivatives : the official publication …
20
(
2012
)
1
,
pp. 60-79
Persistent link: https://www.econbiz.de/10009671707
Saved in:
13
CDS auctions and recovery rates: an appraisal
Sundaram, Rangarajan K.
- In:
The journal of derivatives : the official publication …
20
(
2012
)
3
,
pp. 97-102
Persistent link: https://www.econbiz.de/10009725345
Saved in:
14
A simple and accurate simulation approach to the Heston model
Zhu, Jianwei
- In:
The journal of derivatives : the official publication …
18
(
2011
)
3
,
pp. 26-36
Persistent link: https://www.econbiz.de/10009229668
Saved in:
15
The subprime credit crisis of 2007
Crouhy, Michel
;
Jarrow, Robert A.
;
Turnbull, Stuart M.
- In:
The journal of derivatives : the official publication …
16
(
2008/09
)
1
,
pp. 81-110
Persistent link: https://www.econbiz.de/10003771466
Saved in:
16
Credit risk model with lagged information
Choi, Jaewon
- In:
The journal of derivatives : the official publication …
16
(
2008/09
)
2
,
pp. 85-93
Persistent link: https://www.econbiz.de/10003795465
Saved in:
17
Dynamic models of portfolio credit risk : a simplified approach
Hull, John
;
White, Alan
- In:
The journal of derivatives : the official publication …
15
(
2008
)
4
,
pp. 9-28
Persistent link: https://www.econbiz.de/10003733219
Saved in:
18
A generalized single common factor model of portfolio credit risk
Kupiec, Paul H.
- In:
The journal of derivatives : the official publication …
15
(
2008
)
3
,
pp. 25-40
Persistent link: https://www.econbiz.de/10003673343
Saved in:
19
Factor copulas : external defaults
Voort, Martijn van der
- In:
The journal of derivatives : the official publication …
14
(
2007
)
3
,
pp. 94-102
Persistent link: https://www.econbiz.de/10003447193
Saved in:
20
Credit spread options valuation under GARCH
Tahani, Nabil
- In:
The journal of derivatives : the official publication …
14
(
2006
)
1
,
pp. 27-39
Persistent link: https://www.econbiz.de/10003379106
Saved in:
21
Modeling default dependence with threshold models
Overbeck, Ludger
;
Schmidt, Wolfgang
- In:
The journal of derivatives : the official publication …
12
(
2004
)
4
,
pp. 10-19
Persistent link: https://www.econbiz.de/10003010718
Saved in:
22
Default correlation dynamics with business cyle and credit quality changes
Kim, Mi Ae
;
Kim, Tong Suk
- In:
The journal of derivatives : the official publication …
13
(
2005
)
1
,
pp. 8-27
Persistent link: https://www.econbiz.de/10003159462
Saved in:
23
Internal model-based capital regulation and bank risk-taking incentives
Kupiec, Paul H.
- In:
The journal of derivatives : the official publication …
11
(
2004
)
4
,
pp. 33-42
Persistent link: https://www.econbiz.de/10002108835
Saved in:
24
Forecasting default in the face of uncertainty
Giesecke, Kay
;
Goldberg, Lisa
- In:
The journal of derivatives : the official publication …
12
(
2004
)
1
,
pp. 11-25
Persistent link: https://www.econbiz.de/10002210953
Saved in:
25
Interest rate swaps : reconciliation of models
Klein, Peter
- In:
The journal of derivatives : the official publication …
12
(
2004
)
1
,
pp. 46-57
Persistent link: https://www.econbiz.de/10002210957
Saved in:
26
Tail approximations for portfolio credit risk
Glasserman, Paul
- In:
The journal of derivatives : the official publication …
12
(
2004
)
2
,
pp. 24-42
Persistent link: https://www.econbiz.de/10002535960
Saved in:
27
Digital premium
Berd, Arthur M.
;
Kapoor, Vivek
- In:
The journal of derivatives : the official publication …
10
(
2002
)
3
,
pp. 66-76
Persistent link: https://www.econbiz.de/10001770081
Saved in:
28
Valuation of convertible bonds with credit risk
Ayache, E.
;
Forsyth, Peter A.
;
Vetzal, Kenneth R.
- In:
The journal of derivatives : the official publication …
11
(
2003
)
1
,
pp. 9-29
Persistent link: https://www.econbiz.de/10001798981
Saved in:
29
Explaining credit spread changes : new evidence from option-adjusted bond indexes
Huang, Jing-Zhi
;
Kong, Weipeng
- In:
The journal of derivatives : the official publication …
11
(
2003
)
1
,
pp. 30-44
Persistent link: https://www.econbiz.de/10001798992
Saved in:
30
What exactly does credit VaR measure?
Kupiec, Paul H.
- In:
The journal of derivatives : the official publication …
9
(
2002
)
3
,
pp. 46-59
Persistent link: https://www.econbiz.de/10001708437
Saved in:
31
Pricing convertible bonds subject to default risk
Hung, Mao-Wei
;
Wang, Jr-Yan
- In:
The journal of derivatives : the official publication …
10
(
2002
)
2
,
pp. 75-87
Persistent link: https://www.econbiz.de/10001745235
Saved in:
32
A Markov chain model with stochastic default rate for valuation of credit spreads
Kodera, Eiji
- In:
The journal of derivatives : the official publication …
8
(
2001
)
4
,
pp. 8-18
Persistent link: https://www.econbiz.de/10001613575
Saved in:
33
Recent advances in default swap valuation
Cheng, Wai-yan
- In:
The journal of derivatives : the official publication …
9
(
2001
)
1
,
pp. 18-27
Persistent link: https://www.econbiz.de/10001618895
Saved in:
34
Credit risk derivatives
Das, Sanjiv R.
- In:
The journal of derivatives : the official publication …
2
(
1995
)
3
,
pp. 7-23
Persistent link: https://www.econbiz.de/10001219525
Saved in:
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