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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
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Credit risk : taking fluctuating asset correlations into account
Schmitt, Thilo A.; Schäfer, Rudi; Guhr, Thomas - In: The journal of credit risk : published quarterly by … 11 (2015) 3, pp. 73-94
Persistent link: https://www.econbiz.de/10011380105
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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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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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From incurred loss to current expected credit loss : a forensic analysis of the allowance for loan losses in unconditionally cancelable credit card portfolios
Canals-Cerdá, José J. - In: The journal of credit risk : published quarterly by … 16 (2020) 4, pp. 43-83
Persistent link: https://www.econbiz.de/10012494772
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Art-secured lending : a risk analysis framework
Charlin, Ventura; Cifuentes, Arturo - In: The journal of credit risk : published quarterly by … 16 (2020) 2, pp. 67-93
Persistent link: https://www.econbiz.de/10012298997
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Stochastic loss given default and exposure at default in a structural model of portfolio credit risk
Kaposty, Florian; Löderbusch, Matthias; Maciag, Jakob - In: The journal of credit risk : published quarterly by … 13 (2017) 1, pp. 95-123
Persistent link: https://www.econbiz.de/10011670772
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Modeling dependent risk factors with CreditRisk+
Zhang, Xiaohang; Choe, SuBang; Zhu, Ji; Bewick, Jill - In: The journal of credit risk : published quarterly by … 14 (2018) 2, pp. 29-43
Persistent link: https://www.econbiz.de/10011917573
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A latent variable credit risk model comprising nonlinear dependencies in a sector framework with a stochastically dependent loss given default
Maciag, Jakob; Löderbusch, Matthias - In: The journal of credit risk : published quarterly by … 13 (2017) 4, pp. 37-74
Persistent link: https://www.econbiz.de/10012041612