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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
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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
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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
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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
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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