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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
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Modeling the current loan-to-value structure of mortgage pools without loan-specific data
Palmroos, Peter - In: The journal of credit risk : published quarterly by … 12 (2016) 4, pp. 1-15
Persistent link: https://www.econbiz.de/10011645432
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An approximation for credit portfolio losses
Frey, Rüdiger; Popp, Monika; Weber, Stefan - In: The journal of credit risk : published quarterly by … 4 (2008/09) 1, pp. 3-20
Persistent link: https://www.econbiz.de/10003745393
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Accurate allocation of risk capital in credit portfolios
Kwiatkowski, Jan W.; Burridge, D. James - In: The journal of credit risk : published quarterly by … 4 (2008/09) 1, pp. 21-46
Persistent link: https://www.econbiz.de/10003745394
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A Markov copulae approach to pricing and hedging of credit index derivatives and ratings triggered step-up bonds
Bielecki, Tomasz R.; Vidozzi, Andrea; Vidozzi, Luca - In: The journal of credit risk : published quarterly by … 4 (2008/09) 1, pp. 47-76
Persistent link: https://www.econbiz.de/10003745400
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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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The systematic and idiosyncratic modules of bankruptcy risk
Parnes, Dror - In: The journal of credit risk : published quarterly by … 5 (2009/10) 1, pp. 25-46
Persistent link: https://www.econbiz.de/10003853282
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Pricing kth-to-default swaps in a Lévy-time framework
Mai, Jan-Frederik; Scherer, Matthias - In: The journal of credit risk : published quarterly by … 5 (2009/10) 3, pp. 55-70
Persistent link: https://www.econbiz.de/10003903240
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The value of non-financial information in small and medium-sized enterprise risk management
Altman, Edward I.; Sabato, Gabriele; Wilson, Nicholas - In: The journal of credit risk : published quarterly by … 6 (2010/11) 2, pp. 95-127
Persistent link: https://www.econbiz.de/10008646995
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Corporate bond defaults are consistent with conditional independence
Kramer, Florian; Löffler, Gunter - In: The journal of credit risk : published quarterly by … 6 (2010/11) 2, pp. 3-35
Persistent link: https://www.econbiz.de/10008647010