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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
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Generalized beta regression models for random loss given default
Huang, Xinzheng; Oosterlee, Cornelis W. - In: The journal of credit risk : published quarterly by … 7 (2011/12) 1, pp. 45-70
Persistent link: https://www.econbiz.de/10009424789
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Modeling sector correlations with CreditRisk+ : the commen background vector model
Fischer, Matthias; Dietz, Christian - In: The journal of credit risk : published quarterly by … 7 (2011/12) 4, pp. 23-43
Persistent link: https://www.econbiz.de/10009424790
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A credit default model for a dynamically changing economy
Andersson, Patrik - In: The journal of credit risk : published quarterly by … 7 (2011/12) 4, pp. 3-22
Persistent link: https://www.econbiz.de/10009424791
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Credit loss and systematic loss given default
Frye, Jon; Jacobs, Michael <Jr.> - In: The journal of credit risk : published quarterly by … 8 (2012) 1, pp. 109-140
Persistent link: https://www.econbiz.de/10009539228
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The impact of counterparty risk on credit default swap pricing dynamics
Morkoetter, Stefan; Pleus, Johanna; Westerfeld, Simone - In: The journal of credit risk : published quarterly by … 8 (2012) 1, pp. 63-88
Persistent link: https://www.econbiz.de/10009539242
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Lead-lag relationships and rating convergence among credit rating agencies
Güttler, André - In: The journal of credit risk : published quarterly by … 7 (2011/12) 1, pp. 95-119
Persistent link: https://www.econbiz.de/10009010624
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A generalized credit value adjustment
Kjaer, Mats - In: The journal of credit risk : published quarterly by … 7 (2011/12) 1, pp. 65-92
Persistent link: https://www.econbiz.de/10009010628
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A multiname first-passage model for credit risk
McLeish, Don L.; Metzler, Adam - In: The journal of credit risk : published quarterly by … 7 (2011/12) 1, pp. 35-64
Persistent link: https://www.econbiz.de/10009010630
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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