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Macroeconomic dynamics and credit risk : a global perspective
Schuermann, Til; Treutler, Björn-Jakob; Weiner, Scott M.; … - 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/10011508097
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Correlated defaults, incomplete information, and the term structure of credit spreads
Giesecke, Kay - 2001
Persistent link: https://www.econbiz.de/10001646775
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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 - In: Journal of banking & finance 28 (2004) 7, pp. 1521-1545
Persistent link: https://www.econbiz.de/10002100479
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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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Correlated defaults, incomplete information, and the term structure of credit spreads
Giesecke, Kay (contributor) - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001639703
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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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Firm heterogeneity and credit risk diversification
Hanson, Samuel G. (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10002636144