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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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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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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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Portfolio credit risk model with extremal dependence of defaults and random recovery
Jeon, Jong-June; Kim, Sunggon; Lee, Yonghee - In: The journal of credit risk : published quarterly by … 13 (2017) 2, pp. 1-31
Persistent link: https://www.econbiz.de/10011777675
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Primary-firm-driven portfolio loss
Turnbull, Stuart M. - In: The journal of credit risk : published quarterly by … 13 (2017) 2, pp. 33-52
Persistent link: https://www.econbiz.de/10011777676
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A credit value adjustment scheme for bank loan portfolios
Parnes, Dror - In: The journal of credit risk : published quarterly by … 10 (2014) 2, pp. 39-68
Persistent link: https://www.econbiz.de/10010385999
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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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Basel risk weight functions and forward-looking expected credit losses
Eleftherios, Vlachostergios - In: The journal of credit risk : published quarterly by … 15 (2019) 4, pp. 29-42
Persistent link: https://www.econbiz.de/10012153043
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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