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~person:"Lucas, André"
~person:"McAleer, Michael"
~person:"Rösch, Daniel"
~subject:"Portfolio-Management"
~type_genre:"Aufsatz in Zeitschrift"
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Portfolio-Management
Credit risk
54
Kreditrisiko
54
Basel Accord
17
Basler Akkord
17
Theorie
16
Theory
16
Insolvency
12
Insolvenz
12
Risk management
12
Credit rating
11
Kreditwürdigkeit
11
Portfolio selection
11
Risikomanagement
11
Bank lending
9
Kreditgeschäft
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Estimation
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Forecasting model
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Prognoseverfahren
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Schätzung
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Mortgage
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USA
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United States
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Business cycle
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Financial crisis
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Finanzkrise
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Konjunktur
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Loss
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Verlust
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Risk measure
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Securitization
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Verbriefung
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Asset-Backed Securities
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CAPM
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Credit
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Aufsatz in Zeitschrift
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Lucas, André
McAleer, Michael
Rösch, Daniel
Capponi, Agostino
7
Fischer, Matthias
7
Jacobs, Michael <Jr.>
7
Lee, Yong Woong
6
Bo, Lijun
5
Giesecke, Kay
5
Lütkebohmert-Holtz, Eva
5
Di Clemente, Annalisa
4
Dorfleitner, Gregor
4
Grundke, Peter
4
Kupiec, Paul H.
4
Scheule, Harald
4
Altman, Edward I.
3
Bernard, Carole
3
Boudreault, Mathieu
3
Breuer, Thomas
3
Canals-Cerdá, José J.
3
Chamizo, Álvaro
3
Cifuentes, Arturo
3
Crépey, Stéphane
3
Dor, Arik Ben
3
Düllmann, Klaus
3
Glasserman, Paul
3
Gordy, Michael B.
3
Helberg, Stig
3
Jakob, Kevin
3
Jandačka, Martin
3
Jiao, Ying
3
Kandhai, Drona
3
Koch Medina, Pablo
3
Lindset, Snorre
3
Maciag, Jakob
3
Moreira, Fernando
3
Muga, Luis
3
Novales, Alfonso
3
Okhrati, Ramin
3
Oosterlee, Cornelis Willebrordus
3
Parnes, Dror
3
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Journal of banking & finance
2
Applied mathematical finance
1
European journal of operational research : EJOR
1
International journal of forecasting
1
Journal of applied econometrics
1
Journal of monetary economics
1
Journal of risk
1
Pacific-Basin finance journal
1
Review of derivatives research
1
The journal of risk model validation
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ECONIS (ZBW)
11
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1
Systematic credit risk in securitised mortgage portfolios
Lee, Yong Woong
;
Rösch, Daniel
;
Scheule, Harald
- In:
Journal of banking & finance
122
(
2021
),
pp. 1-19
Persistent link: https://www.econbiz.de/10012659310
Saved in:
2
Risk endogeneity at the lender/investor-of-last-resort
Caballero, Diego
;
Lucas, André
;
Schwaab, Bernd
;
Zhang, Xin
- In:
Journal of monetary economics
116
(
2020
),
pp. 283-297
Persistent link: https://www.econbiz.de/10012495181
Saved in:
3
Parameter estimation, bias correction and uncertainty quantification in the Vasicek credit portfolio model
Pfeuffer, Marius
;
Nagl, Maximilian
;
Fischer, Matthias
; …
- In:
Journal of risk
22
(
2019/2020
)
4
,
pp. 1-30
Persistent link: https://www.econbiz.de/10012297503
Saved in:
4
Global credit risk : world, country and industry factors
Schwaab, Bernd
;
Koopman, Siem Jan
;
Lucas, André
- In:
Journal of applied econometrics
32
(
2017
)
2
,
pp. 296-317
Persistent link: https://www.econbiz.de/10011689783
Saved in:
5
Accuracy of mortgage portfolio risk forecasts during financial crises
Lee, Yong Woong
;
Rösch, Daniel
;
Scheule, Harald
- In:
European journal of operational research : EJOR
249
(
2016
)
2
,
pp. 440-456
Persistent link: https://www.econbiz.de/10011436707
Saved in:
6
The role of loan portfolio losses and bank capital for Asian financial system resilience
Rösch, Daniel
;
Scheule, Harald
- In:
Pacific-Basin finance journal
40
(
2016
),
pp. 289-305
Persistent link: https://www.econbiz.de/10011712252
Saved in:
7
Nowcasting and forecasting global financial sector stress and credit market dislocation
Schwaab, Bernd
;
Koopman, Siem Jan
;
Lucas, André
- In:
International journal of forecasting
30
(
2014
)
3
,
pp. 741-758
Persistent link: https://www.econbiz.de/10010515585
Saved in:
8
An analytical approach for systematic risk sensitivity of structured finance products
Claußen, Arndt
;
Löhr, Sebastian
;
Rösch, Daniel
- In:
Review of derivatives research
17
(
2014
)
1
,
pp. 1-37
Persistent link: https://www.econbiz.de/10010519296
Saved in:
9
Empirical performance of loss given default prediction models
Bade, Benjamin
;
Rösch, Daniel
;
Scheule, Harald
- In:
The journal of risk model validation
5
(
2011
)
2
,
pp. 25-44
Persistent link: https://www.econbiz.de/10009356823
Saved in:
10
Tail behaviour of credit loss distributions for general latent factor models
Lucas, André
;
Klaassen, Pieter
;
Spreij, Peter
; …
- In:
Applied mathematical finance
10
(
2003
)
4
,
pp. 337-357
Persistent link: https://www.econbiz.de/10001864390
Saved in:
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