Sensitivities and worst-case correlations for hitting probabilities of portfolio tranches
Stefan Huschens; Christoph Lehmann; Daniel Tillich
Year of publication: |
2010
|
---|---|
Authors: | Huschens, Stefan ; Lehmann, Christoph ; Tillich, Daniel |
Published in: |
The journal of risk model validation. - London : Risk Journals, ISSN 1753-9579, ZDB-ID 23167646. - Vol. 4.2010/11, 1, p. 49-69
|
Saved in:
Saved in favorites
Similar items by person
-
Sensitivities and worst-case correlations for hitting probabilities of portfolio tranches
Huschens, Stefan, (2010)
-
Consensus information and consensus rating : a note on methodological problems of rating aggregation
Lehmann, Christoph, (2014)
-
Consensus information and consensus rating : a simulation study on rating aggregation
Lehmann, Christoph, (2016)
- More ...