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Contagious defaults in a credit portfolio : a Bayesian network approach
Anagnostou, Ioannis; Sanchez Rivero, Javier; Sourabh, Sumit - In: The journal of credit risk : published quarterly by … 16 (2020) 1, pp. 1-26
Persistent link: https://www.econbiz.de/10012298963
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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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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