Credit Risk Factor Modeling and the Basel II IRB Approach
Year of publication: |
2003
|
---|---|
Authors: | Hamerle, Alfred ; Liebig, Thilo ; Rösch, Daniel |
Institutions: | Deutsche Bundesbank |
Subject: | Credit Risk | Credit Ratings | Probability of Default | Bank Regulation |
-
Credit Risk Factor Modeling and the Basel II IRB Approach
Hamerle, Alfred, (2003)
-
Incorporating prediction and estimation risk in point-in-time credit portfolio models
Hamerle, Alfred, (2005)
-
Incorporating prediction and estimation risk in point-in-time credit portfolio models
Hamerle, Alfred, (2005)
- More ...
-
Forecasting Credit Portfolio Risk
Hamerle, Alfred, (2004)
-
Incorporating prediction and estimation risk in point-in-time credit portfolio models
Hamerle, Alfred, (2005)
-
Systematic risk of CDOs and CDO arbitrage
Hamerle, Alfred, (2009)
- More ...