Platz der Alten Synagoge 1
University of Freiburg, Institute for Economic Research
in Total Papers Citations
Basel II, granularity adjustment, value-at-risk, idiosyncratic risk
Statistical Arbitrage, Robust Valuation, Trading Strategies, Super-Replication Duality
structural credit risk model, bank run, rollover risk, first passage time, optimal stopping time
banking competition, bank runs, financial stability, shadow funding, wealth management products
robust price bounds, model-independent valuation, optimal martingale transport, additional market information
Bayesian DCC M-GARCH model, interest rate risk, maturity transformation, swings in the yield curve
Business Cycles, Hierarchical Dynamic Factor Model, Stock Market Sentiment.
This is a Risk Journals paper. Risk Journals charges $73.00 .
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credit risk, sector concentration risk, capital allocation, analytical approximation, Monte Carlo simulation
multiple term structures, principal component analysis, dynamic factor model, Nelson-Siegel curve, forecasting of yield curves
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $42.00 .
File name: EUFM.pdf
funding liquidity, optimal capital structure, rollover risk, structural credit risk models
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