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A Simple Credit Risk Model wit...
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ECONIS (ZBW)
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1
Should bank loan portfolio be diversified under government capital injection and deposit insurance fund protection?
Chen, Shi
;
Chang, Chuen-Ping
- In:
International review of economics & finance : IREF
38
(
2015
),
pp. 131-141
Persistent link: https://www.econbiz.de/10011572342
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2
Optimal portfolios with credit default swaps
Ambrosini, Giuseppe
;
Menoncin, Francesco
- In:
Journal of financial services research : JFSR
54
(
2018
)
1
,
pp. 81-109
Persistent link: https://www.econbiz.de/10012024972
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3
Initial margin estimations for credit default
swap
portfolios
Ivanov, Stanislav
- In:
The journal of financial market infrastructures
5
(
2017
)
4
,
pp. 22-49
Persistent link: https://www.econbiz.de/10011729219
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4
A libor market model including credit risk under the real-world measure
Lopes, Sara Dutra
;
Vázquez, Carlos
- In:
The journal of computational finance
24
(
2020
)
3
,
pp. 111-141
Persistent link: https://www.econbiz.de/10012544160
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5
On a multi-dimensional risk model with regime switching
Wang, Guanqing
;
Wang, Guojing
;
Yang, Hailiang
- In:
Insurance / Mathematics & economics
68
(
2016
),
pp. 73-83
Persistent link: https://www.econbiz.de/10011492469
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6
Simple approximation for the ruin probability in renewal risk model under interest force via Laguerre series expansion
Cheung, Eric C. K.
;
Zhang, Zhimin
- In:
Scandinavian actuarial journal
2021
(
2021
)
9
,
pp. 804-831
Persistent link: https://www.econbiz.de/10012653689
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7
Calibration of rating grades to point-in-time and through-the-cycle levels of probability of default
Rubtsov, Mark
- In:
The journal of risk model validation
15
(
2021
)
4
,
pp. 51-74
Persistent link: https://www.econbiz.de/10013173372
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8
Predicting loss distributions for small-size defaulted-debt portfolios using a convolution technique that allows probability masses to occur at boundary points
Chu, Chih-Kang
;
Hwang, Ruey-Ching
- In:
Journal of financial services research : JFSR
56
(
2019
)
1
,
pp. 95-117
Persistent link: https://www.econbiz.de/10012301329
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9
A limit distribution of credit portfolio losses with low default probabilities
Shi, Xiaojun
;
Tang, Qihe
;
Yuan, Zhongyi
- In:
Insurance / Mathematics & economics
73
(
2017
),
pp. 156-167
Persistent link: https://www.econbiz.de/10011702063
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10
Multiple risk factor dependence structures : distributional properties
Su, Jianxi
;
Furman, Edward
- In:
Insurance / Mathematics & economics
76
(
2017
),
pp. 56-68
Persistent link: https://www.econbiz.de/10011774770
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