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Credit valuation adjustment tail risk and the impact of wrong way trades
Skoglund, Jimmy; Vestal, Doug; Chen, Wei - In: Journal of risk management in financial institutions 6 (2012/13) 3, pp. 280-310
Persistent link: https://www.econbiz.de/10010197071
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A tale of two overhangs : the nexus of financial sector and sovereign credit risks
Acharya, Viral V.; Drechsler, Itamar; Schnabl, Philipp - In: Financial stability review : FSR 16 (2012), pp. 51-56
Persistent link: https://www.econbiz.de/10010202569
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Stage transfer effect on impairment forecasts
Skoglund, Jimmy; Chen, Wei - In: Journal of risk management in financial institutions 11 (2017/2018) 3, pp. 244-256
Persistent link: https://www.econbiz.de/10011942536
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Forecast of forecast : an analytical approach to stressed impairment forecasting
Skoglund, Jimmy; Chen, Wei - In: Journal of risk management in financial institutions 10 (2016/2017) 3, pp. 238-256
Persistent link: https://www.econbiz.de/10011800733
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A bottom-up, reduced form credit risk model approach for the determination of collateralised loan obligation capital
Jarrow, Robert A.; Deventer, Donald R. van - In: Journal of risk management in financial institutions 16 (2022/2023) 3, pp. 237-255
Persistent link: https://www.econbiz.de/10014320229