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Stress testing credit risk : the Great Depression scenario
Varotto, Simone - In: Journal of banking & finance 36 (2012) 12, pp. 3133-3149
Persistent link: https://www.econbiz.de/10009660520
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Stability of rating transitions
Nickell, Pamela; Perraudin, William R. M.; Varotto, Simone - In: Journal of banking & finance 24 (2000) 1/2, pp. 203-227
Persistent link: https://www.econbiz.de/10001432952
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Credit and liquidity components of corporate CDS spreads
Corò, Filippo; Dufour, Alfonso; Varotto, Simone - In: Journal of banking & finance 37 (2013) 12, pp. 5511-5525
Persistent link: https://www.econbiz.de/10010343659
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Stress testing credit risk: The Great Depression scenario
Varotto, Simone - In: Journal of banking & finance 36 (2012) 12, pp. 3133-3150
Persistent link: https://www.econbiz.de/10010026821
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Complexity and the default risk of mortgage-backed securities
Billio, Monica; Dufour, Alfonso; Segato, Samuele; … - In: Journal of banking & finance 155 (2023), pp. 1-19
Persistent link: https://www.econbiz.de/10014490601