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Testing large-dimensional correlation
Arnold, Matthias
;
Weißbach, Rafael
-
2007
credit
risk
, in different sectors of the German economy. … and power for finite samples to be suitable. We apply the test to the vector of default rates, a risk factor in
portfolio
…
Persistent link: https://www.econbiz.de/10010298198
Saved in:
2
On Partial Defaults in
Portfolio
Credit
Risk
: A Poisson Mixture Model Approach
Weißbach, Rafael
;
von Lieres und Wilkau, Carsten
-
2005
Most credit portfolio models exclusively calculate the loss distribution for a portfolio of performing counterparts. Conservative default definitions cause considerable insecurity about the loss for a long time after the default. We present three approaches to account for defaulted counterparts...
Persistent link: https://www.econbiz.de/10010296668
Saved in:
3
Testing Homogeneity of Time-Continuous Rating Transitions
Lawrenz, Claudia
;
Tschiersch, Patrick
;
Weißbach, Rafael
-
2005
Banks could achieve substantial improvements of their
portfolio
credit
risk
assessment by estimating rating transition …
Persistent link: https://www.econbiz.de/10010296695
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