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Financial Asset-Pricing Theory...
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Klaassen, Pieter
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Lucas, André
5
Spreij, Peter
2
Straetmans, Stefan
2
Driessen, Joost
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Koopman, Siem Jan
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Leeuwen, Erik van
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Journal of banking & finance
3
Applied mathematical finance
1
Journal of financial and quantitative analysis : JFQA
1
Management science : journal of the Institute for Operations Research and the Management Sciences
1
Risk : managing risk in the world's financial markets
1
The journal of portfolio management : a publication of Institutional Investor
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1
The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions
Driessen, Joost
;
Klaassen, Pieter
;
Melenberg, Bertrand
- In:
Journal of financial and quantitative analysis : JFQA
38
(
2003
)
3
,
pp. 635-672
Persistent link: https://www.econbiz.de/10006694267
Saved in:
2
An analytic approach to credit risk of large corporate bond and loan portfolios
Lucas, André
;
Klaassen, Pieter
;
Spreij, Peter
; …
- In:
Journal of banking & finance
25
(
2001
)
9
,
pp. 1635-1664
Persistent link: https://www.econbiz.de/10005892366
Saved in:
3
Financial Asset-Pricing Theory and Stochastic Programming Models for Asset-Liability Management: A Synthesis
Klaassen, Pieter
- In:
Management science : journal of the Institute for …
44
(
1998
)
1
,
pp. 31-48
Persistent link: https://www.econbiz.de/10006098731
Saved in:
4
Tail behaviour of credit loss distributions for general latent factor models
Lucas, André
;
Klaassen, Pieter
;
Spreij, Peter
; …
- In:
Applied mathematical finance
10
(
2003
)
4
,
pp. 337-358
Persistent link: https://www.econbiz.de/10008215113
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5
Discrete versus continuous state switching models for portfolio credit risk
Lucas, André
;
Klaassen, Pieter
- In:
Journal of banking & finance
30
(
2006
)
1
,
pp. 23-36
Persistent link: https://www.econbiz.de/10005878721
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6
Empirical credit cycles and capital buffer formation
Koopman, Siem Jan
;
Lucas, André
;
Klaassen, Pieter
- In:
Journal of banking & finance
29
(
2005
)
12
,
pp. 3159-3180
Persistent link: https://www.econbiz.de/10005879740
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7
PORTFOLIO STRATEGIES AND ASSET ALLOCATION - Extreme Returns, Downside Risk, and Optimal Asset Allocation - The normal distribution plays a key role in most asset allocation models and the computation of downside risk measures. The normal distribution, however, does not capture the observed behavior of many financial time series. Extreme returns are encountered far more often than predicted by the ...
Lucas, André
;
Klaassen, Pieter
- In:
The journal of portfolio management : a publication of …
25
(
1998
)
1
,
pp. 71-80
Persistent link: https://www.econbiz.de/10007349264
Saved in:
8
ONE-FACTOR FALLACIES - The pitfalls of relying on one-factor models to value interest rates options.
Klaassen, Pieter
;
Leeuwen, Erik van
;
Schreurs, Bram
- In:
Risk : managing risk in the world's financial markets
11
(
1998
)
12
,
pp. 56-59
Persistent link: https://www.econbiz.de/10007060034
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