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Worst-Case Analysen des Ausfal...
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Wertpapierportefeuille
Kreditrisiko
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Swap
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Credit risk
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Derivat
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Derivative
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Eigenkapital
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Equity capital
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Financial market
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Derivat <Wertpapier>
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Mathematisches Modell
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Messung
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Portfolio Selection
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Reaktionsfunktion
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reaction functions
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Barth, Jörn
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Mannheimer Manuskripte zu Risikotheorie, Portfolio Management und Versicherungswirtschaft
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Schriftenreihe Finanzmanagement
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Universität Mannheim - Lehrstuhl für Allgemeine Betriebswirtschaftslehre, Risikotheorie, Portfolio Management und Versicherungswirtschaft - Veröffentlichungen
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USB Cologne (business full texts)
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ECONIS (ZBW)
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Worst-Case-Analysen des Ausfallrisikos von Finanzderivaten unter Berücksichtigung von Markteinflüssen
Barth, Jörn
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2000
Persistent link: https://www.econbiz.de/10013432848
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Credit Risk: Worst Case Scenarios for Swap Portfolios
Barth, Jörn
-
1999
The first objective of this paper is to apply the model of Barth (1999) to the numerical generation of credit loss distributions of a portfolio consisting entirely of interest rate swaps ...
Persistent link: https://www.econbiz.de/10005842388
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