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Interest and credit risk management in German banks
Dräger, Vanessa; Heckmann, Lotta; Memmel, Christoph - In: German economic review : GER 22 (2021) 1, pp. 63-95
Persistent link: https://www.econbiz.de/10012507117
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Contagion in the interbank market and its determinants
Memmel, Christoph; Sachs, Angelika - In: Journal of financial stability 9 (2013) 1, pp. 46-54
Persistent link: https://www.econbiz.de/10009745201
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Credit risk modeling with affine processes
Duffie, Darrell - In: Journal of banking & finance 29 (2005) 11, pp. 2751-2802
Persistent link: https://www.econbiz.de/10003121049
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Modeling term structures of defaultable bonds
Duffie, Darrell; Singleton, Kenneth J. - In: The review of financial studies 12 (1999) 4, pp. 687-720
Persistent link: https://www.econbiz.de/10001421853
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Contagion in the interbank market with stochastic loss given default
Memmel, Christoph; Sachs, Angelika; Stein, Ingrid - In: International journal of central banking : IJCB 8 (2012) 3, pp. 177-206
Persistent link: https://www.econbiz.de/10009634274
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Across-the-curve credit spread indices
Berndt, Antje; Duffie, Darrell; Zhu, Yichao - In: Financial markets, institutions & instruments 32 (2023) 3, pp. 115-130
Persistent link: https://www.econbiz.de/10014326682