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Risikoadjustierte Performanceanalyse von Anleiheportfolios

Daum, Jens - 2010

Für eine fundierte Anlageentscheidung ist die Messung und Beurteilung der erzielten Ergebnisse unabdingbar. Die Dimensionen Rendite und Risiko sind daher immer gemeinsam zu betrachten, um Fehlallokationen zu vermeiden. Jens Daum untersucht die zur Verfügung stehenden Instrumente der...

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Bank lending and interest-rate derivatives

Zhao, Fang; Moser, James T. - In: International journal of financial research 8 (2017) 4, pp. 23-37

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Valuation, hedging, and bounds of swaps under multi-factor BNS-type stochastic volatility models

Issaka, Aziz - In: Annals of financial economics 15 (2020) 2, pp. 1-28

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Optimal trading and tax option value of defaultable bonds with asymmetric capital gain taxes

Chen, Peter Huaiyu; Liu, Sheen X.; Wu, Chunchi - In: Advances in Pacific Basin business, economics, and finance 7 (2019), pp. 27-62

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A Mellin transform approach to the pricing of options with default risk

Choi, Sun-Yong; Sotheara Veng; Kim, Jeong-Hoon; Yoon, Ji-Hun - In: Computational economics 59 (2022) 3, pp. 1113-1134

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Quantitative Financial Risk Management

Wu, Desheng Dash - 2011

the Black-Scholes Option Pricing Model, the Vasicek Model, Factor models, CAPM models, GARCH models, KMV models and credit …

Persistent link: https://www.econbiz.de/10014015370

Quantitative Financial Risk Management

Wu, Desheng Dash - 2011

Persistent link: https://www.econbiz.de/10013518433

Internecine interrelations among liquidity risk, market risk and credit risk in Indian banking system

Sharma, Raavinuthala Satya Krishna; Jain, Girish; … - In: Afro-Asian Journal of Finance and Accounting : AAJFA 13 (2023) 6, pp. 780-797

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Disentangling the bond-CDS nexus : a stress test model of the CDS market

Vuillemey, Guillaume; Peltonen, Tuomo - In: Economic modelling 49 (2015), pp. 32-45

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Does market risk predict credit risk? : an analysis of firm risk sensitivity, evidence from South Korea

Lim, Hyoungjoo; Mali, Dafydd - In: Asia-Pacific journal of accounting & economics : APJAE 25 (2018) 1/2, pp. 235-252

Persistent link: https://www.econbiz.de/10011986366