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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

Stress testing banks

Schuermann, Til - In: International journal of forecasting 30 (2014) 3, pp. 717-728

Persistent link: https://www.econbiz.de/10010515587

Risk measurement, risk management and capital adequacy in financial conglomerates

Kuritzkes, Andrew (contributor); Schuermann, Til (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001754461

Measurement and estimation of credit migration matrices

Schuermann, Til (contributor); Jafry, Yusuf (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001754507

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

Ratings migration and the business cycle, with application to credit portfolio stress testing

Bangia, Anil; Diebold, Francis X.; Kronimus, André; … - In: Journal of banking & finance 26 (2002) 2/3, pp. 445-474

Persistent link: https://www.econbiz.de/10001654345

Ratings migration and the business cycle, with application to credit portfolio stress testing

Bangia, Anil; Diebold, Francis X.; Schuermann, Til - 2000

Persistent link: https://www.econbiz.de/10001476401

What do we know about loss given default?

Schuermann, Til (contributor) - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001944584

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

The new Basel capital accord and questions for research

Saidenberg, Marc R. (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001785525

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