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Basel II: Benchmarking asset correlations - The authors use a parametric model to obtain asset correlations from a large database of historical defaults and find that Basel II over...
Hamerle, Alfred; Liebig, Thilo; Rösch, Daniel - In: Risk : managing risk in the world's financial markets 16 (2003) 11, pp. 77-82
Persistent link: https://www.econbiz.de/10007029825
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Kreditportfoliomodelle: Vergleich verschiedener Ansätze zur Modellierung von Assetkorrelationen - Im dritten Konsultationspapier zum neuen Basler Akkord werden für die Assetkorrela...
Hamerle, Alfred; Liebig, Thilo; Rösch, Daniel - In: Risk : managing risk in the world's financial markets 38 (2004), pp. 39
Persistent link: https://www.econbiz.de/10007025858
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CREDIT RISK: Default and recovery correlations - a dynamic econometric approach
Hamerle, Alfred; Knapp, Michael; Wildenauer, Nicole - In: Risk : managing risk in the world's financial markets 20 (2007) 1, pp. 100-105
Persistent link: https://www.econbiz.de/10007589223
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Credit portfolio risk - Estimating credit contagion in a standard factor model - State-of-the-art credit risk portfolio models and the new Basel capital Accord consider only symmet...
Rösch, Daniel; Winterfeldt, Birker - In: Risk : managing risk in the world's financial markets 21 (2008) 8, pp. 78-83
Persistent link: https://www.econbiz.de/10008092407