SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Static models of central counterparty risk
16 references·0 citing·42 second hop
Static models of central counterparty risk (2015)Static models of central counterparty riskRisk Estimation via Regression (2015)Risk Estimation via RegressionProbability of Loss on Loan Portfolio (2015)Probability of Loss on Loan P…Central Clearing of OTC Derivatives: Bilateral vs Multilateral Netting (2013)Central Clearing of OTC Deriv…Quantitative Risk Management (2011)Quantitative Risk ManagementDoes a Central Clearing Counterparty Reduce Counterparty Risk? (2011)Does a Central Clearing Count…Nested Simulation in Portfolio Risk Measurement (2010)Nested Simulation in Portfoli…Restoring Financial Stability (2009)Restoring Financial StabilityPortfolio Credit Risk with Extremal Dependence: Asymptotic Analysis and Efficient Simulation (2008)Portfolio Credit Risk with Ex…Market Liquidity and Funding Liquidity (2008)Market Liquidity and Funding …Risk management and financial institutions (2006)Risk management and financial…AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION (2005)AN AXIOMATIC APPROACH TO CAPI…Monte Carlo Methods in Financial Engineering (2003)Monte Carlo Methods in Financ…Coherent allocation of risk capital (2001)Coherent allocation of risk c…Risk contributions and performance measurement (2000)Risk contributions and perfor…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)On the Pricing of Corporate D…A value for n -person games (1988)A Course in Game Theory (1994)Coherent Measures of Risk (1999)Expected shortfall and beyond (2002)Measuring the systemic importance of interconnected banks (2013)PORTFOLIO SELECTION* (1952)Optimization of conditional value-at-risk (2000)To Split or Not to Split: Capital Allocation with Convex Risk Measures (2007)Optimal Capital Allocation Principles (2011)What is the best risk measure in practice? A comparison of standard measures (2015)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Pricing of Options and Corporate Liabilities (1973)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)An equilibrium characterization of the term structure (1977)Credit Rationing in Markets with Imperfect Information (1981)Bank Runs, Deposit Insurance, and Liquidity (1983)Continuous Auctions and Insider Trading (1985)Liquidity and leverage (2008)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Systemic Risk in Financial Systems (2001)Securities lending, shorting, and pricing (2002)Credit Default Swaps and the Credit Crisis (2010)Credit Default Swaps and the Empty Creditor Problem (2011)Bubbles, Financial Crises, and Systemic Risk (2013)The cost of capital, corporation finance and the theory of investment (2008)Modelling Extremal Events (1997)An Introduction to Statistical Modeling of Extreme Values (2001)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach (2012)Dynamic Conditional Correlation: On Properties and Estimation (2013)Bank Risk-taking, Securitization, Supervision, and Low Interest Rates: Evidence from the Euro-area and the U.S. Lending Standards (2011)A Survey of Systemic Risk Analytics (2012)Stronger Risk Controls, Lower Risk: Evidence from U.S. Bank Holding Companies (2013)Multilevel Monte Carlo Path Simulation (2008)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Simulation Modeling and Analysis (2016)Basel Committee On Banking Supervision (2010)A critical review on supply chain risk – Definition, measure and modeling (2014)Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads (2016)
this work references cited by second hop

References

  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 2008Market Liquidity and Funding Liquidity5,007 cited
  • 2003Monte Carlo Methods in Financial Engineering3,818 cited
  • 1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates2,752 cited
  • 2011Quantitative Risk Management985 cited
  • 2006Risk management and financial institutions781 cited
  • 2009Restoring Financial Stability720 cited
  • 2011Does a Central Clearing Counterparty Reduce Counterparty Risk?600 cited
  • 2001Coherent allocation of risk capital422 cited
  • 2005AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION290 cited
  • 2000Risk contributions and performance measurement260 cited
  • 2015Probability of Loss on Loan Portfolio220 cited
  • 2010Nested Simulation in Portfolio Risk Measurement180 cited
  • 2008Portfolio Credit Risk with Extremal Dependence: Asymptotic Analysis and Efficient Simulation105 cited
  • 2015Risk Estimation via Regression94 cited
  • 2013Central Clearing of OTC Derivatives: Bilateral vs Multilateral Netting

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

52 cited

Cited by

No citing works inside the corpus for this window.