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内部出版物
SpringerLink电子期刊(1)
Elsevier电子期刊(6)
在“
Elsevier电子期刊
”中,
命中:
6
条,耗时:小于0.01 秒
在所有数据库中总计命中:
7
条
1.
Time-changed L茅vy LIBOR market model: Pricing and joint estimation of the cap surface and swaption cube
作者:
Markus
Leippold
;
Jacob Str酶mberg
关键词:
C51
;
E43
;
G13
刊名:Journal of Financial Economics
出版年:January, 2014
2.
A simple model of credit contagion
作者:
Daniel Egloff
;
Markus
Leippold
;
Paolo Vanini
关键词:
Credit portfolio risk management
;
Contagion
;
Macroeconomic and microstructural interdependence
刊名:Journal of Banking and Finance
出版年:2007
3.
Optimal credit limit management under different information regimes
作者:
Markus
Leippold
;
Paolo Vanini and Silvan Ebnoether
关键词:
Credit risk management
;
Optimal limit policy
;
Partial information
;
Adverse selection
刊名:Journal of Banking and Finance
出版年:2006
4.
Economic benefit of powerful credit scoring
作者:
Andreas Blö
;
chlinger and
Markus
Leippold
关键词:
Bank loan pricing
;
Credit scoring
;
Discriminatory power
;
Receiver operating characteristic (ROC)
刊名:Journal of Banking and Finance
出版年:2006
5.
Equilibrium impact of value-at-risk regulation
作者:
Markus
Leippold
;
Fabio Trojani and Paolo Vanini
关键词:
Value-at-risk
;
Stochastic opportunity set
;
Regulatory policy
;
Dynamic financial equilibria
;
Perturbation theory
刊名:Journal of Economic Dynamics and Control
出版年:2006
6.
A geometric approach to multiperiod mean variance optimization of assets and liabilities
作者:
Leippold
;
Markus
;
Trojani
;
Fabio
;
Vanini
;
Paolo
关键词:
G11
;
G12
;
G28
;
D92
;
C60
;
C61
;
Assets and liabilities portfolios
;
Minimum-variance frontiers
;
Dynamic programming
;
Markowitz model
刊名:Journal of Economic Dynamics and Control
出版年:2004
1
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