Showing 1 - 10 of 40
Persistent link: https://www.econbiz.de/10000659289
Persistent link: https://www.econbiz.de/10000660994
Persistent link: https://www.econbiz.de/10000662914
We develop a framework for modeling conditional loss distributions through the introduction of risk factor dynamics. Asset value changes of a credit portfolio are linked to a dynamic global macroeconometric model, allowing macro effects to be isolated from idiosyncratic shocks. Default...
Persistent link: https://www.econbiz.de/10011508097
Persistent link: https://www.econbiz.de/10001754527
Persistent link: https://www.econbiz.de/10001591081
Persistent link: https://www.econbiz.de/10001631912
Persistent link: https://www.econbiz.de/10001637631
Persistent link: https://www.econbiz.de/10001571292
Persistent link: https://www.econbiz.de/10001578376