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Estimating EAD for retail exposures for Basel II purposes
Valvonis, Vytautas - In: The journal of credit risk : published quarterly by … 4 (2008/09) 1, pp. 79-109
Persistent link: https://www.econbiz.de/10003745402
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Treatment of double default effects within the granularity adjustment for Basel II
Ebert, Sebastian; Lütkebohmert-Holtz, Eva - In: The journal of credit risk : published quarterly by … 7 (2011/12) 1, pp. 3-33
Persistent link: https://www.econbiz.de/10009010639
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A brief note on implied historical loss given default
Porto, Rogério F. - In: The journal of credit risk : published quarterly by … 7 (2011/12) 2, pp. 73-81
Persistent link: https://www.econbiz.de/10009241307
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How banks' capital ratio and size affect the stability of the banking system : a simulation-based study
Steinbacher, Mitja; Steinbacher, Matjaz - In: The journal of credit risk : published quarterly by … 11 (2015) 1, pp. 59-92
Persistent link: https://www.econbiz.de/10011298491
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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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The robustness of estimatiors in structural credit loss distributions
Batiz-Zuk, Enrique; Christodoulakis, George A.; Poon, … - In: The journal of credit risk : published quarterly by … 11 (2015) 2, pp. 67-97
Persistent link: https://www.econbiz.de/10011298505
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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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Credit exposure under the new standardized approach for counterparty credit risk : fixing the treatment of equity options
Kratochwill, Michael - In: The journal of credit risk : published quarterly by … 17 (2021) 1, pp. 31-60
Persistent link: https://www.econbiz.de/10012519960
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Incorporating small-sample defaults history in loss given default models
Ptak-Chmielewska, Aneta; Kopciuszewski, Paweł - In: The journal of credit risk : published quarterly by … 17 (2021) 4, pp. 101-119
Persistent link: https://www.econbiz.de/10013185695
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A sensitivity analysis of the alpha factor
Einemann, Michael; Kalkbrener, Michael - In: The journal of credit risk : published quarterly by … 16 (2020) 1, pp. 49-70
Persistent link: https://www.econbiz.de/10012298981