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Credit Default Swaps as Hedgin...
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Credit risk
Risikomaß
7,346
Risk measure
7,325
Theorie
4,373
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4,333
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3,312
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3,309
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2,884
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2,871
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2,421
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2,128
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1,086
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960
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957
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921
Capital income
918
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857
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857
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762
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758
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754
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694
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693
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Tang, Dragon Yongjun
27
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19
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17
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16
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16
Zhu, Haibin
16
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15
Gündüz, Yalın
15
Zhou, Hao
15
Brigo, Damiano
14
Wang, Sarah Qian
14
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12
Cathcart, Lara
12
Herbertsson, Alexander
12
Ongena, Steven
12
Powell, Robert
12
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11
Lee, Jongsub
11
Naranjo, Andy
11
Rösch, Daniel
11
Yan, Hong
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11
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10
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10
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9
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9
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9
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8
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1
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1
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1
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Journal of banking & finance
62
The journal of credit risk : published quarterly by Incisive Media
41
International journal of theoretical and applied finance
33
Journal of international financial markets, institutions & money
30
IMF Working Papers
28
Journal of financial stability
28
The journal of fixed income
27
International review of financial analysis
26
Finance research letters
24
Research paper series / Swiss Finance Institute
23
Journal of financial economics
22
Journal of risk
20
Economic modelling
18
Management science : journal of the Institute for Operations Research and the Management Sciences
18
The North American journal of economics and finance : a journal of financial economics studies
18
Journal of empirical finance
17
The European journal of finance
17
Discussion paper
16
Journal of financial services research : JFSR
16
Review of quantitative finance and accounting
16
The journal of futures markets
16
Applied economics
15
Discussion paper / Tinbergen Institute
15
Journal of international money and finance
15
Journal of risk management in financial institutions
15
Risks : open access journal
15
Insurance / Mathematics & economics
14
The journal of risk model validation
14
Finance and economics discussion series
13
European journal of operational research : EJOR
12
The journal of structured finance
12
Discussion paper / Deutsche Bundesbank
11
European financial management : the journal of the European Financial Management Association
11
International review of economics & finance : IREF
11
Research in international business and finance
11
Swiss Finance Institute Research Paper
11
Computational economics
10
IMF Staff Country Reports
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Journal of risk and financial management : JRFM
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Review of derivatives research
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ECONIS (ZBW)
2,379
RePEc
55
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EconStor
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1
Pricing CDS spreads with Credit Valuation Adjustment using a mixture
copula
Harb, Etienne
;
Louhichi, Wael
- In:
Research in international business and finance
39
(
2017
),
pp. 963-975
Persistent link: https://www.econbiz.de/10011912420
Saved in:
2
Dependence in credit default swap and equity markets : dynamic
copula
with Markov-switching
Fei, Fei
;
Fuertes, Ana María
;
Kalotychou, Elena
- In:
International journal of forecasting
33
(
2017
)
3
,
pp. 662-678
Persistent link: https://www.econbiz.de/10011746197
Saved in:
3
Liquidity tail risk and credit default swap spreads
Irresberger, Felix
;
Weiß, Gregor
;
Gabrysch, Janet
; …
- In:
European journal of operational research : EJOR
269
(
2018
)
3
,
pp. 1137-1153
Persistent link: https://www.econbiz.de/10011866884
Saved in:
4
Application of
copula
-GARCH to estimate VaR of a portfolio with credit default swaps
Huang, Jhe-Jheng
;
So, Leh-Chyan
- In:
Journal of mathematical finance
8
(
2018
)
2
,
pp. 382-407
Persistent link: https://www.econbiz.de/10011874816
Saved in:
5
A
copula
-based systemic risk measure : application to investment-grade and high-yield CDS portfolios
Choi, So Eun
;
Jang, Hyun Jin
;
Choe, Geon Ho
- In:
Applied economics letters
27
(
2020
)
15
,
pp. 1264-1271
Persistent link: https://www.econbiz.de/10012267120
Saved in:
6
Stress testing bank insolvency risk by systemic equity market shock : an expected shortfall approach
Yang, Hank Z.
- In:
Journal of risk management in financial institutions
16
(
2022/2023
)
3
,
pp. 211-227
Persistent link: https://www.econbiz.de/10014320203
Saved in:
7
Estimating expected and unexpected losses for agricultural mortgage portfolios
Dressler, Jonathan B.
;
Tauer, Loren W.
- In:
American journal of agricultural economics
98
(
2016
)
5
,
pp. 1470-1485
Persistent link: https://www.econbiz.de/10011635556
Saved in:
8
A new approach to credit ratings
Pertaia, Giorgi
;
Prokhorov, Artem
;
Uryasev, Stan
- In:
Journal of banking & finance
140
(
2022
),
pp. 1-12
Persistent link: https://www.econbiz.de/10013463125
Saved in:
9
Essays in Financial Economics
Sobott, Jonas Karl
-
2017
Persistent link: https://www.econbiz.de/10012794977
Saved in:
10
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
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