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Modelling correlations in credit portfolio risk
Rosenow, Bernd; Weißbach, Rafael - In: Journal of risk management in financial institutions 3 (2009/10) 1, pp. 16-30
Persistent link: https://www.econbiz.de/10003939667
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Implied asset correlation in retail loan portfolios
Botha, Marius; Van Vuuren, Gary - In: Journal of risk management in financial institutions 3 (2009/10) 2, pp. 156-173
Persistent link: https://www.econbiz.de/10003963534
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A generalised latent Poisson factor modelling approach for default correlations in credit portfolios
Saidane, Mohamed - In: Journal of risk management in financial institutions 17 (2023) 1, pp. 89-105
Persistent link: https://www.econbiz.de/10014489156
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Convexity and correlation effects in expected credit loss calculations for IFRS9/CECL and stress testing
Chawla, Gaurav; Forest, Lawrence R. <Jr.>; Aguais, Scott D. - In: Journal of risk management in financial institutions 10 (2016/2017) 1, pp. 99-110
Persistent link: https://www.econbiz.de/10011670653
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A coherent economic framework to model correlations between PD, LGD and EaD, and its applications in EaD modelling and IFRS-9
Miu, Peter; Ozdemir, Bogie - In: Journal of risk management in financial institutions 16 (2022/2023) 1, pp. 52-78
Persistent link: https://www.econbiz.de/10014293052
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An investigation of hypothetical variance-covariance matrix stress-testing
Rayer, Quintin - In: Journal of risk management in financial institutions 9 (2016) 3, pp. 264-288
Persistent link: https://www.econbiz.de/10011661846
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Integration of energy commodity markets in Europe and the USA
Bencivenga, Cristina; Sargenti, Giulia; D'Ecclesia, Rita L. - In: Journal of risk management in financial institutions 4 (2010/11) 3, pp. 301-313
Persistent link: https://www.econbiz.de/10009271172
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How do boards address risk management and oversight?
Davies, Brandon - In: Journal of risk management in financial institutions 6 (2012/13) 4, pp. 352-365
Persistent link: https://www.econbiz.de/10010227163
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Capital for concentrated credit portfolios
Kupiec, Paul H. - In: Journal of risk management in financial institutions 8 (2015) 4, pp. 314-322
Persistent link: https://www.econbiz.de/10011531169
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The end of the waterfall : default resources of central counterparties
Cont, Rama - In: Journal of risk management in financial institutions 8 (2015) 4, pp. 365-389
Persistent link: https://www.econbiz.de/10011531210