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Stress testing of credit portfolios in light- and heavy-tailed models
Kalkbrener, Michael; Packham, Natalie - In: Journal of risk management in financial institutions 8 (2015) 1, pp. 34-44
Persistent link: https://www.econbiz.de/10010526459
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Stress testing of credit portfolios in light- and heavy-tailed models
Kalkbrener, Michael; Packham, Natalie - In: Journal of risk management in financial institutions 8 (2015) 1, pp. 34-44
Persistent link: https://www.econbiz.de/10010526460
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Does risk culture matter? : the relationship between risk culture indicators and stress test results
Fritz-Morgenthal, Sebastian G.; Hellmuth, Julia; … - In: Journal of risk management in financial institutions 9 (2015/2016) 1, pp. 71-84
Persistent link: https://www.econbiz.de/10011488884
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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