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Macroeconomics dynamics and credit risk : a global perspective
Pesaran, M. Hashem (contributor);  … - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001766064
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Macroeconomic dynamics and credit risk : a global perspective
Pesaran, M. Hashem; Schuermann, Til; Treutler, Björn-Jakob - 2003
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/10001784147
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Macroeconomic dynamics and credit risk : a global perspective
Pesaran, M. Hashem; Schuermann, Til; Treutler, Björn-Jakob - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001754527
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Correlated default with incomplete information
Giesecke, Kay - 2002
Persistent link: https://www.econbiz.de/10001684707
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Compensator-based simulation of correlated defaults
Giesecke, Kay - 2002
Persistent link: https://www.econbiz.de/10001685033
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An exponential model for dependent defaults
Giesecke, Kay - 2002
Persistent link: https://www.econbiz.de/10001685045
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Firm heterogeneity and credit risk diversification
Hanson, Samuel G. (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10002636144
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Global business cycles and credit risk
Pesaran, M. Hashem; Schuermann, Til; Treutler, Björn-Jakob - 2005
Persistent link: https://www.econbiz.de/10003087235
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Global business cycles and credit risk
Pesaran, M. Hashem (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10002962300
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Corporate bond default risk : a 150-year perspective
Giesecke, Kay; Longstaff, Francis A.; Schaefer, Stephen M. - 2010
Persistent link: https://www.econbiz.de/10003952425