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A copula approach to credit valuation adjustment for swaps under wrong-way risk
C̆erný, Jakub; Witzany, Jir̆í - In: The journal of credit risk : published quarterly by … 14 (2018) 1, pp. 31-43
Persistent link: https://www.econbiz.de/10011885459
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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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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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Forecasting credit card portfolio losses in the Great recession : a study in model risk
Canals-Cerdá, José J.; Kerr, Sougata - In: The journal of credit risk : published quarterly by … 11 (2015) 1, pp. 29-57
Persistent link: https://www.econbiz.de/10011298501
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An analytical value-at-risk approach for a credit portfolio with liquidity horizon and portfolio rebalancing
Huang, Haohan; Wang, Eugene; Huang, Huaxiong; Wang, Yong - In: The journal of credit risk : published quarterly by … 11 (2015) 4, pp. 1-28
Persistent link: https://www.econbiz.de/10011442455
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The marginal cost of risk, risk measures, and capital allocation
Bauer, Daniel; Zanjani, George - In: Management science : journal of the Institute for … 62 (2016) 5, pp. 1431-1457
Persistent link: https://www.econbiz.de/10011487544
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A framework for market, credit and transfer risk aggregation and stress testing
Farinelli, Simone - In: The journal of credit risk : published quarterly by … 12 (2016) 1, pp. 1-41
Persistent link: https://www.econbiz.de/10011566247
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A credit portfolio framework under dependent risk parameters : probability of default, loss given default and exposure at default
Eckert, Johanna; Jakob, Kevin; Fischer, Matthias - In: The journal of credit risk : published quarterly by … 12 (2016) 1, pp. 97-119
Persistent link: https://www.econbiz.de/10011566295
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Risk analysis probability of default : a stochastic simulation model
Montesi, Giuseppe; Papiro, Giovanni - In: The journal of credit risk : published quarterly by … 10 (2014) 3, pp. 29-86
Persistent link: https://www.econbiz.de/10010426467
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A survey of machine learning in credit risk
Breeden, Joseph L. - In: The journal of credit risk : published quarterly by … 17 (2021) 3, pp. 1-62
Persistent link: https://www.econbiz.de/10012816867