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~person:"Lucas, André"
~person:"McAleer, Michael"
~person:"Rösch, Daniel"
~type_genre:"Aufsatz in Zeitschrift"
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Credit risk
54
Kreditrisiko
54
Basel Accord
17
Basler Akkord
17
Theorie
16
Theory
16
Insolvency
12
Insolvenz
12
Risk management
12
Credit rating
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11
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Kreditgeschäft
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Aufsatz in Zeitschrift
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54
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Lucas, André
McAleer, Michael
Rösch, Daniel
Altman, Edward I.
27
Scheule, Harald
26
Ongena, Steven
22
Jarrow, Robert A.
21
Capponi, Agostino
20
Crook, Jonathan N.
20
Schulte-Mattler, Hermann
20
Wang, Xingchun
20
Chi, Guotai
19
Gouriéroux, Christian
19
Fabozzi, Frank J.
18
Jacobs, Michael <Jr.>
17
Ghosh, Saibal
16
Norden, Lars
16
Saunders, Anthony
16
Andreeva, Galina
15
Brigo, Damiano
15
Hasan, Iftekhar
15
Thomas, Lyn C.
15
Wu, Chunchi
15
Acharya, Viral V.
14
Mayordomo, Sergio
14
Monfort, Alain
13
Turnbull, Stuart M.
13
Van Vuuren, Gary
13
Goodman, Laurie Sharon
12
Mues, Christophe
12
Schuermann, Til
12
Tang, Dragon Yongjun
12
Barisitz, Stephan
11
Das, Sanjiv R.
11
Dorfleitner, Gregor
11
Giesecke, Kay
11
Gürtler, Marc
11
Kanno, Masayasu
11
Kupiec, Paul H.
11
Parnes, Dror
11
Saurina, Jesús
11
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Journal of banking & finance
9
European journal of operational research : EJOR
4
International journal of forecasting
3
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
3
Journal of applied econometrics
2
Journal of empirical finance
2
Review of derivatives research
2
The journal of fixed income
2
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1
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Die Bank
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1
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Finance research letters
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1
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1
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1
International review of finance
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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1
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1
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1
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1
Journal of the Operational Research Society : OR
1
Pacific-Basin finance journal
1
Schmalenbachs Zeitschrift für betriebswirtschaftliche Forschung : ZfbF
1
The European journal of finance
1
The North American journal of economics and finance : a journal of financial economics studies
1
The journal of futures markets
1
The journal of real estate finance and economics
1
The journal of risk model validation
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
1
Zeitschrift für das gesamte Kreditwesen : Pflichtblatt der Frankfurter Wertpapierbörse
1
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ECONIS (ZBW)
54
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1
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:
2
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:
3
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:
4
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:
5
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:
6
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:
7
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:
8
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:
9
Computing valuation adjustments for counterparty credit risk using a modified supervisory approach
Büchel, Patrick
;
Kratochwil, Michael
;
Rösch, Daniel
- In:
Review of derivatives research
23
(
2020
)
3
,
pp. 273-322
Persistent link: https://www.econbiz.de/10012303233
Saved in:
10
Liquidity constraints, home equity and residential mortgage losses
Do, Hung Xuan
;
Rösch, Daniel
;
Scheule, Harald
- In:
The journal of real estate finance and economics
61
(
2020
)
2
,
pp. 208-246
Persistent link: https://www.econbiz.de/10012293163
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