Narrow search
Showing 1 - 10 of 319
Cover Image
Allocating systemic risk in a regulatory perspective
Gouriéroux, Christian; Monfort, Alain - In: International journal of theoretical and applied finance 16 (2013) 7, pp. 1-20
Persistent link: https://www.econbiz.de/10010233265
Cover Image
Particle methods for the estimation of credit portfolio loss distributions
Carmona, René; Crépey, Stéphane - In: International journal of theoretical and applied finance 13 (2010) 4, pp. 577-602
Persistent link: https://www.econbiz.de/10008905024
Cover Image
A spread-return mean-reverting model for credit spread dynamics
O'Donoghue, Brendan; Peacock, Matthew; Lee, Jacky; … - In: International journal of theoretical and applied finance 17 (2014) 3, pp. 1-14
Persistent link: https://www.econbiz.de/10010364761
Cover Image
Justification of per-unit risk capital allocation in portfolio credit risk models
Dorfleitner, Gregor; Pfister, Tamara - In: International journal of theoretical and applied finance 17 (2014) 6, pp. 1-29
Persistent link: https://www.econbiz.de/10010438509
Cover Image
Regulatory capital modeling for credit risk
Rutkowski, Marek; Tarca, Silvio - In: International journal of theoretical and applied finance 18 (2015) 5, pp. 1-44
Persistent link: https://www.econbiz.de/10011403880
Cover Image
Efficient risk measures calculations for generalized CreditRisk+ models
Huang, Zhenzhen; Kwok, Yue-Kuen - In: International journal of theoretical and applied finance 24 (2021) 2, pp. 1-51
Persistent link: https://www.econbiz.de/10012650350
Cover Image
Local risk minimization of contingent claims simultaneously exposed to endogenous and exogenous default times
Okhrati, Ramin; Karpathopoulos, Nikolaos - In: International journal of theoretical and applied finance 24 (2021) 6/7, pp. 1-41
Persistent link: https://www.econbiz.de/10012807897
Cover Image
Restructuring counterparty credit risk
Albanese, Claudio; Brigo, Damiano; Oertel, Frank - In: International journal of theoretical and applied finance 16 (2013) 2, pp. 1-29
Persistent link: https://www.econbiz.de/10009748714
Cover Image
Pricingcounterparty risk including collateralization, netting rules, re-hypothecation and wrong-way risk
Brigo, Damiano; Capponi, Agostino; Pallavicini, Andrea; … - In: International journal of theoretical and applied finance 16 (2013) 2, pp. 1-16
Persistent link: https://www.econbiz.de/10009748723
Cover Image
A note on the double impact on CVA for CDS : wrong-way risk with stochastic recovery
Li, Hui - In: International journal of theoretical and applied finance 16 (2013) 3, pp. 1-14
Persistent link: https://www.econbiz.de/10009756066