Portfolio credit risk : top-down versus bottom-up approaches
Year of publication: |
2009
|
---|---|
Authors: | Giesecke, Kay |
Published in: |
Frontiers in quantitative finance : volatility and credit risk modeling. - Hoboken, N.J. [u.a.] : Wiley, ISBN 978-0-470-29292-1. - 2009, p. 251-267
|
Subject: | Theorie | Theory | Kreditrisiko | Credit risk | Portfolio-Management | Portfolio selection |
-
Simulating risk contributions of credit portfolios
Liu, Guangwu, (2015)
-
Forecasting credit card portfolio losses in the Great recession : a study in model risk
Canals-Cerdá, José J., (2015)
-
An asset protection scheme for banks exposed to troubled loan portfolios
Grosen, Anders, (2014)
- More ...
-
Cyclical correlations, credit contagion, and portfolio losses
Giesecke, Kay, (2003)
-
Inference for large financial systems
Giesecke, Kay, (2019)
-
Correlated defaults, incomplete information, and the term strucutre of credit spreads
Giesecke, Kay, (2001)
- More ...