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The subprime credit crisis of 2007
Crouhy, Michel; Jarrow, Robert A.; Turnbull, Stuart M. - In: The journal of derivatives : the official publication … 16 (2008/09) 1, pp. 81-110
Persistent link: https://www.econbiz.de/10003771466
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Internal model-based capital regulation and bank risk-taking incentives
Kupiec, Paul H. - In: The journal of derivatives : the official publication … 11 (2004) 4, pp. 33-42
Persistent link: https://www.econbiz.de/10002108835
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A generalized single common factor model of portfolio credit risk
Kupiec, Paul H. - In: The journal of derivatives : the official publication … 15 (2008) 3, pp. 25-40
Persistent link: https://www.econbiz.de/10003673343
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What exactly does credit VaR measure?
Kupiec, Paul H. - In: The journal of derivatives : the official publication … 9 (2002) 3, pp. 46-59
Persistent link: https://www.econbiz.de/10001708437