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Risk-neutral versus objective loss distribution and CDO tranche valuation
Torresetti, Roberto; Brigo, Damiano; Pallavicini, Andrea - In: Journal of risk management in financial institutions 2 (2008/09) 2, pp. 175-192
Persistent link: https://www.econbiz.de/10003831749
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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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Credit models and the crisis : an overview
Brigo, Damiano; Pallavicini, Andrea; Torresetti, Roberto - In: Journal of risk management in financial institutions 4 (2010/11) 3, pp. 243-253
Persistent link: https://www.econbiz.de/10009271192
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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