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subject:"Hedging"
~subject:"Kreditrisiko"
~isPartOf:"Journal of risk"
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Search: subject_exact:"Portfolio-Theorie"
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Hedging
Kreditrisiko
Portfolio selection
104
Portfolio-Management
104
Risikomaß
55
Risk measure
55
Risikomanagement
39
Risk management
39
Theorie
39
Theory
39
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23
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portfolio optimization
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Aarons, Mark
1
Baule, Rainer
1
Bertagna, Andrea
1
Boeve, Rolf
1
Cicon, James
1
Cong, Jianfa
1
Deliu, Dragos
1
Fermanian, Jean-David
1
Fischer, Matthias
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Florentin, Clément
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Flower, Barry G.
1
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1
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1
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1
Hesse, Frederik
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1
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1
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1
Leong, Philip H. W.
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Liebig, Thilo
1
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1
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1
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Pfeuffer, Marius
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Pfingsten, Andreas
1
Pioppi, Michele
1
Plank, Kilian
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Journal of risk
Journal of banking & finance
68
International journal of theoretical and applied finance
51
Finance research letters
48
International review of financial analysis
42
Insurance / Mathematics & economics
39
The journal of credit risk : published quarterly by Incisive Media
35
Finance and stochastics
31
The journal of futures markets
31
Research paper series / Swiss Finance Institute
30
Energy economics
29
International review of economics & finance : IREF
28
Journal of economic dynamics & control
28
Applied economics
26
European journal of operational research : EJOR
26
Economic modelling
25
The North American journal of economics and finance : a journal of financial economics studies
25
Risks : open access journal
24
Swiss Finance Institute Research Paper
24
SpringerLink / Bücher
23
Mathematical finance : an international journal of mathematics, statistics and financial theory
22
Discussion paper / Deutsche Bundesbank
21
Journal of financial economics
21
Journal of risk and financial management : JRFM
21
The European journal of finance
20
Journal of financial stability
19
Journal of risk management in financial institutions
19
Quantitative finance
19
The journal of risk model validation
19
Management science : journal of the Institute for Operations Research and the Management Sciences
18
Applied mathematical finance
17
NBER working paper series
17
Bundesbank Series 2 Discussion Paper
16
Journal of international financial markets, institutions & money
15
Research in international business and finance
14
The journal of fixed income
14
The journal of portfolio management : a publication of Institutional Investor
14
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
14
The review of financial studies
14
Working paper / National Bureau of Economic Research, Inc.
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1
Counterparty risk allocation
Baule, Rainer
- In:
Journal of risk
25
(
2022
)
1
,
pp. 49-74
Persistent link: https://www.econbiz.de/10013549681
Saved in:
2
Optimal foreign exchange hedge tenor with liquidity risk
Zhang, Rongju
;
Aarons, Mark
;
Loeper, Gregoire
- In:
Journal of risk
23
(
2020/2021
)
3
,
pp. 1-29
Persistent link: https://www.econbiz.de/10012500295
Saved in:
3
Parameter estimation, bias correction and uncertainty quantification in the Vasicek credit portfolio model
Pfeuffer, Marius
;
Nagl, Maximilian
;
Fischer, Matthias
; …
- In:
Journal of risk
22
(
2019/2020
)
4
,
pp. 1-30
Persistent link: https://www.econbiz.de/10012297503
Saved in:
4
Hedging incentives for financial institutions
Weert, Frans J. de
- In:
Journal of risk
22
(
2019/2020
)
3
,
pp. 1-20
Persistent link: https://www.econbiz.de/10013177132
Saved in:
5
An internal default risk model : simulation of default times and recovery rates within the new fundamental review of the trading book framework
Bertagna, Andrea
;
Deliu, Dragos
;
Lopez, Luca
;
Nassigh, Aldo
- In:
Journal of risk
22
(
2019/2020
)
3
,
pp. 21-38
Persistent link: https://www.econbiz.de/10013177133
Saved in:
6
Empirical analysis of oil risk-minimizing portfolios : the DCC-GARCH-MODWT approach
Zivkov, Dejan
;
Njegic, Jovan
;
Zakic, Vladimir
- In:
Journal of risk
22
(
2019/2020
)
3
,
pp. 65-91
Persistent link: https://www.econbiz.de/10013177146
Saved in:
7
Balance-sheet interest rate risk : a weighted Lp approach
Gajek, Lesław
;
Krajewska, Elzbieta
- In:
Journal of risk
21
(
2018/2019
)
1
,
pp. 91-104
Persistent link: https://www.econbiz.de/10011980294
Saved in:
8
Multifactor granularity adjustments for market and counterparty risks
Fermanian, Jean-David
;
Florentin, Clément
- In:
Journal of risk
20
(
2017/2018
)
6
,
pp. 1-27
Persistent link: https://www.econbiz.de/10011962402
Saved in:
9
Default risk charge : modeling framework for the "Basel" risk measure
Wilkens, Sascha
;
Pedescu, Mirela
- In:
Journal of risk
19
(
2016/2017
)
4
,
pp. 23-50
Persistent link: https://www.econbiz.de/10011710248
Saved in:
10
Asset price bubbles and risk management
Jarrow, Robert A.
- In:
Journal of risk
20
(
2017/2018
)
1
,
pp. 59-76
Persistent link: https://www.econbiz.de/10011847429
Saved in:
11
Optimal asset management for defined-contribution pension funds with default risk
Shibo, Bian
;
Cicon, James
;
Zhang, Yi
- In:
Journal of risk
19
(
2016
)
1
,
pp. 63-76
Persistent link: https://www.econbiz.de/10011579786
Saved in:
12
Stochastic receding horizon control for short-term risk management in foreign exchange
Noorian, Farzad
;
Flower, Barry G.
;
Leong, Philip H. W.
- In:
Journal of risk
18
(
2016
)
5
,
pp. 29-62
Persistent link: https://www.econbiz.de/10011598355
Saved in:
13
Comparing risk measures when aggregating market risk and credit risk using different copulas
Maciag, Jakob
;
Hesse, Frederik
;
Boeve, Rolf
;
Pfingsten, …
- In:
Journal of risk
18
(
2016
)
5
,
pp. 101-136
Persistent link: https://www.econbiz.de/10011598393
Saved in:
14
Bayesian synthesis of portfolio credit risk with missing ratings
Parnes, Dror
- In:
Journal of risk
18
(
2015/2016
)
1
,
pp. 45-69
Persistent link: https://www.econbiz.de/10013262945
Saved in:
15
Improved estimation methods for value-at-risk, expected shortfall and risk contributions with high precision
Muromachi, Yukio
- In:
Journal of risk
17
(
2014/2015
)
5
,
pp. 1-27
Persistent link: https://www.econbiz.de/10011438902
Saved in:
16
A one-factor copula-based model for credit portfolios
Kolman, Marek
- In:
Journal of risk
17
(
2014/15
)
2
,
pp. 93-132
Persistent link: https://www.econbiz.de/10010476247
Saved in:
17
Conditional value-at-risk-based optimal partial hedging
Cong, Jianfa
;
Tan, Ken Seng
;
Wang, Chengguo
- In:
Journal of risk
16
(
2013/2014
)
3
,
pp. 49-83
Persistent link: https://www.econbiz.de/10013262926
Saved in:
18
The impact of collateralized debt obligation arbitrage on tranching and financial leverage of structured finance securities
Hamerle, Alfred
;
Liebig, Thilo
;
Schropp, Hans-Jochen
- In:
Journal of risk
16
(
2013/2014
)
1
,
pp. 3-33
Persistent link: https://www.econbiz.de/10013262916
Saved in:
19
Failure of the saddlepoint method in the presence of double defaults
Lütkebohmert-Holtz, Eva
- In:
Journal of risk
15
(
2012/13
)
1
,
pp. 71-89
Persistent link: https://www.econbiz.de/10009657964
Saved in:
20
Measuring concentration risk for regulatory purposes
Gürtler, Marc
;
Hibbeln, Martin
;
Vöhringer, Clemens
- In:
Journal of risk
12
(
2009/10
)
3
,
pp. 69-104
Persistent link: https://www.econbiz.de/10003970191
Saved in:
21
Evaluation of credit portfolio models : test statistics for density-based tests
Plank, Kilian
;
Walter, Roland
- In:
Journal of risk
13
(
2010/11
)
2
,
pp. 3-21
Persistent link: https://www.econbiz.de/10008807874
Saved in:
22
Hedging portfolios of financial guarantees
Lai, Van Son
;
Langlois, Yves
;
Soumaré, Issouf
- In:
Journal of risk
11
(
2008/09
)
2
,
pp. 39-63
Persistent link: https://www.econbiz.de/10003809406
Saved in:
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