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~isPartOf:"The journal of credit risk : published quarterly by Incisive Media"
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Multivariate Verteilung
9
Multivariate distribution
9
Derivat
5
Derivative
5
Theorie
5
Theory
5
Credit risk
4
Kreditrisiko
4
Portfolio selection
4
Portfolio-Management
4
Statistical distribution
4
Statistische Verteilung
4
Credit derivative
3
Kreditderivat
3
copulas
3
Asset-Backed Securities
2
Asset-backed securities
2
Financial analysis
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Finanzanalyse
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Stochastic process
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Stochastischer Prozess
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Archimedean copulas
1
Bank lending
1
Basel Accord
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Basler Akkord
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Collateralized Debt Obligations (CDO)
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EU countries
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EU-Staaten
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Financial services
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Finanzdienstleistung
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Interest rate derivative
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Kreditgeschäft
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Loss
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English
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Bernardi, Enrico
1
Choe, Geon Ho
1
C̆erný, Jakub
1
Ehrhardt, Matthias
1
Fenger, Christian
1
Hull, John
1
Kwon, Soon Won
1
Löderbusch, Matthias
1
Maciag, Jakob
1
Mashele, Phillip
1
Predescu, Mirela
1
Romagnoli, Silvia
1
Umeorah, Nneka
1
Vrins, Frédéric D.
1
White, Alan
1
Whitehill, Sam
1
Witzany, Jir̆í
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The journal of credit risk : published quarterly by Incisive Media
Insurance / Mathematics & economics
95
Energy economics
59
Risks : open access journal
42
Applied economics
41
Economic modelling
37
European journal of operational research : EJOR
34
International review of financial analysis
33
The North American journal of economics and finance : a journal of financial economics studies
33
Journal of banking & finance
31
Finance research letters
30
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
30
Journal of econometrics
27
SFB 649 discussion paper
27
Journal of risk and financial management : JRFM
24
Discussion paper / Tinbergen Institute
22
Journal of risk
22
The European journal of finance
22
Research in international business and finance
19
International journal of theoretical and applied finance
16
Journal of empirical finance
16
Applied economics letters
15
Computational economics
15
Discussion paper / Center for Economic Research, Tilburg University
15
International review of economics & finance : IREF
15
Econometric reviews
14
Economics letters
13
International journal of forecasting
13
Journal of international financial markets, institutions & money
13
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
13
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
12
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
11
Journal of financial econometrics : official journal of the Society for Financial Econometrics
11
Quantitative finance
11
Scandinavian actuarial journal
11
Discussion paper
10
Robustness in econometrics
10
Astin bulletin : the journal of the International Actuarial Association
9
Diskussionspapiere / Friedrich-Alexander-Universität Erlangen-Nürnberg, Lehrstuhl für Statistik und Ökonometrie
9
Econometric theory
9
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
9
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ECONIS (ZBW)
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1
Elliptical and archimedean copula models : an application to the price estimation of portfolio credit derivatives
Umeorah, Nneka
;
Mashele, Phillip
;
Ehrhardt, Matthias
- In:
The journal of credit risk : published quarterly by …
17
(
2021
)
1
,
pp. 1-29
Persistent link: https://www.econbiz.de/10012519958
Saved in:
2
An efficient portfolio loss model
Fenger, Christian
- In:
The journal of credit risk : published quarterly by …
15
(
2019
)
3
,
pp. 21-39
Persistent link: https://www.econbiz.de/10012121560
Saved in:
3
A copula approach to credit valuation adjustment for swaps under wrong-way risk
C̆erný, Jakub
;
Witzany, Jir̆í
- In:
The journal of credit risk : published quarterly by …
14
(
2018
)
1
,
pp. 31-43
Persistent link: https://www.econbiz.de/10011885459
Saved in:
4
A latent variable credit risk model comprising nonlinear dependencies in a sector framework with a stochastically dependent loss given default
Maciag, Jakob
;
Löderbusch, Matthias
- In:
The journal of credit risk : published quarterly by …
13
(
2017
)
4
,
pp. 37-74
Persistent link: https://www.econbiz.de/10012041612
Saved in:
5
The large homogeneous portfolio approximation with a two-factor Gaussian copula and random recovery rate
Choe, Geon Ho
;
Kwon, Soon Won
- In:
The journal of credit risk : published quarterly by …
10
(
2014
)
3
,
pp. 137-158
Persistent link: https://www.econbiz.de/10010426459
Saved in:
6
A clusterized copula-based probability distribution of a counting variable for high-dimensional problems
Bernardi, Enrico
;
Romagnoli, Silvia
- In:
The journal of credit risk : published quarterly by …
9
(
2013
)
2
,
pp. 3-26
Persistent link: https://www.econbiz.de/10009781092
Saved in:
7
The valuation of correlation-dependent credit derivatives using a structural model
Hull, John
;
Predescu, Mirela
;
White, Alan
- In:
The journal of credit risk : published quarterly by …
6
(
2010/11
)
3
,
pp. 99-132
Persistent link: https://www.econbiz.de/10008696412
Saved in:
8
An introduction to pricing correlation products using a pair-wise correlation matrix
Whitehill, Sam
- In:
The journal of credit risk : published quarterly by …
5
(
2009/10
)
1
,
pp. 97-110
Persistent link: https://www.econbiz.de/10003853302
Saved in:
9
Double-t copula pricing structured credit products : practical aspects of a trustworthy implementation
Vrins, Frédéric D.
- In:
The journal of credit risk : published quarterly by …
5
(
2009/10
)
3
,
pp. 91-109
Persistent link: https://www.econbiz.de/10003903249
Saved in:
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