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Failure of the saddlepoint method in the presence of double defaults
Lütkebohmert-Holtz, Eva - In: Journal of risk 15 (2012/13) 1, pp. 71-89
Persistent link: https://www.econbiz.de/10009657964
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Improved estimation methods for value-at-risk, expected shortfall and risk contributions with high precision
Muromachi, Yukio - In: Journal of risk 17 (2014/2015) 5, pp. 1-27
Persistent link: https://www.econbiz.de/10011438902
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A one-factor copula-based model for credit portfolios
Kolman, Marek - In: Journal of risk 17 (2014/15) 2, pp. 93-132
Persistent link: https://www.econbiz.de/10010476247
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An internal default risk model : simulation of default times and recovery rates within the new fundamental review of the trading book framework
Bertagna, Andrea; Deliu, Dragos; Lopez, Luca; Nassigh, Aldo - In: Journal of risk 22 (2019/2020) 3, pp. 21-38
Persistent link: https://www.econbiz.de/10013177133
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Comparing risk measures when aggregating market risk and credit risk using different copulas
Maciag, Jakob; Hesse, Frederik; Boeve, Rolf; Pfingsten, … - In: Journal of risk 18 (2016) 5, pp. 101-136
Persistent link: https://www.econbiz.de/10011598393
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Multifactor granularity adjustments for market and counterparty risks
Fermanian, Jean-David; Florentin, Clément - In: Journal of risk 20 (2017/2018) 6, pp. 1-27
Persistent link: https://www.econbiz.de/10011962402
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Default risk charge : modeling framework for the "Basel" risk measure
Wilkens, Sascha; Pedescu, Mirela - In: Journal of risk 19 (2016/2017) 4, pp. 23-50
Persistent link: https://www.econbiz.de/10011710248
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Counterparty risk allocation
Baule, Rainer - In: Journal of risk 25 (2022) 1, pp. 49-74
Persistent link: https://www.econbiz.de/10013549681
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Wavelet decompostion and applied portfolio management
Berger, Theo - In: Journal of risk 18 (2015/2016) 4, pp. 53-77
Persistent link: https://www.econbiz.de/10011578387
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An estimation-free, robust conditional value-at-risk portfolio allocation model
Jabbour, Carlos; Peña, Javier F.; Vera, Juan C.; … - In: Journal of risk 11 (2008/09) 1, pp. 57-78
Persistent link: https://www.econbiz.de/10003775648