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Tail risk concerns everywhere
Gao, George P.; Lu, Xiaomeng; Song, Zhaogang - In: Management science : journal of the Institute for … 65 (2019) 7, pp. 3111-3130
Persistent link: https://www.econbiz.de/10012039979
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Optimal credit swap portfolios
Giesecke, Kay; Kim, Baeho; Kim, Jack; Tsoukalas, Gerry - In: Management science : journal of the Institute for … 60 (2014) 9, pp. 2291-2307
Persistent link: https://www.econbiz.de/10010461900
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An approximation for credit portfolio losses
Frey, Rüdiger; Popp, Monika; Weber, Stefan - In: The journal of credit risk : published quarterly by … 4 (2008/09) 1, pp. 3-20
Persistent link: https://www.econbiz.de/10003745393
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Accurate allocation of risk capital in credit portfolios
Kwiatkowski, Jan W.; Burridge, D. James - In: The journal of credit risk : published quarterly by … 4 (2008/09) 1, pp. 21-46
Persistent link: https://www.econbiz.de/10003745394
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Pricing kth-to-default swaps in a Lévy-time framework
Mai, Jan-Frederik; Scherer, Matthias - In: The journal of credit risk : published quarterly by … 5 (2009/10) 3, pp. 55-70
Persistent link: https://www.econbiz.de/10003903240
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An improved multivariate Markov chain model for credit risk
Ching, Wai Ki; Siu, Tak Kuen; Li, Li-min; Jiang, Hao; … - In: The journal of credit risk : published quarterly by … 5 (2009/10) 4, pp. 83-106
Persistent link: https://www.econbiz.de/10003927496
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Extracting systematic factors in a continuous-time credit migration model
Thompson, Harley; Harris, Jonathan - In: The journal of credit risk : published quarterly by … 6 (2010/11) 1, pp. 31-53
Persistent link: https://www.econbiz.de/10003965723
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Treatment of double default effects within the granularity adjustment for Basel II
Ebert, Sebastian; Lütkebohmert-Holtz, Eva - In: The journal of credit risk : published quarterly by … 7 (2011/12) 1, pp. 3-33
Persistent link: https://www.econbiz.de/10009010639
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Approximating independent loss distributions with an adjusted binomial distribution
O'Kane, Dominic - In: The journal of credit risk : published quarterly by … 7 (2011/12) 4, pp. 103-117
Persistent link: https://www.econbiz.de/10009424787
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Modeling sector correlations with CreditRisk+ : the commen background vector model
Fischer, Matthias; Dietz, Christian - In: The journal of credit risk : published quarterly by … 7 (2011/12) 4, pp. 23-43
Persistent link: https://www.econbiz.de/10009424790