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~person:"Lucas, André"
~person:"McAleer, Michael"
~person:"Rösch, Daniel"
~type_genre:"Aufsatz in Zeitschrift"
~type_genre:"Aufsatzsammlung"
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Search: subject_exact:"Credit risk"
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Credit risk
57
Kreditrisiko
57
Basel Accord
18
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14
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13
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Lucas, André
McAleer, Michael
Rösch, Daniel
Altman, Edward I.
27
Scheule, Harald
26
Jarrow, Robert A.
22
Ongena, Steven
22
Capponi, Agostino
20
Crook, Jonathan N.
20
Schulte-Mattler, Hermann
20
Wang, Xingchun
20
Chi, Guotai
19
Gouriéroux, Christian
19
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18
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17
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16
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16
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16
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16
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15
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15
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15
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14
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14
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13
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13
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13
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12
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12
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12
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12
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11
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11
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11
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11
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11
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11
Kupiec, Paul H.
11
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11
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11
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Journal of banking & finance
9
European journal of operational research : EJOR
4
International journal of forecasting
3
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3
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2
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2
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1
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1
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
1
The review of economics and statistics
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Zeitschrift für das gesamte Kreditwesen : Pflichtblatt der Frankfurter Wertpapierbörse
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ECONIS (ZBW)
57
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1
Statistical and machine learning for credit and market risk management
Nagl, Maximilian
-
2022
Persistent link: https://www.econbiz.de/10012880193
Saved in:
2
Advanced dependency modeling in credit risk : lessons for loss given default, lifetime expected loss and bank capital requirements
Krüger, Steffen
-
2017
Persistent link: https://www.econbiz.de/10012792779
Saved in:
3
Covid-19, credit risk management modeling, and government support
Telg, Sean
;
Dubinova, Anna
;
Lucas, André
- In:
Journal of banking & finance
147
(
2023
),
pp. 1-13
Persistent link: https://www.econbiz.de/10014248237
Saved in:
4
Opening the black box : quantile neural networks for loss given default prediction
Kellner, Ralf
;
Nagl, Maximilian
;
Rösch, Daniel
- In:
Journal of banking & finance
134
(
2022
),
pp. 1-20
Persistent link: https://www.econbiz.de/10013400086
Saved in:
5
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:
6
Testing for parameter instability across different modeling frameworks
Calvori, Francesco
;
Creal, Drew
;
Koopman, Siem Jan
; …
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
2
,
pp. 223-246
Persistent link: https://www.econbiz.de/10011987424
Saved in:
7
Macroeconomic effects and frailties in the resolution of non-performing loans
Betz, Jennifer
;
Krüger, Steffen
;
Kellner, Ralf
; …
- In:
Journal of banking & finance
112
(
2020
),
pp. 1-26
Persistent link: https://www.econbiz.de/10012225295
Saved in:
8
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:
9
Bayesian loss given default estimation for European sovereign bonds
Jobst, Rainer
;
Kellner, Ralf
;
Rösch, Daniel
- In:
International journal of forecasting
36
(
2020
)
3
,
pp. 1073-1091
Persistent link: https://www.econbiz.de/10012497723
Saved in:
10
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:
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