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The crash-NIG copula model : risk measurement and management of credit portfolios

Schlösser, Anna; Zagst, Rudi - In: Journal of risk management in financial institutions 4 (2010/11) 4, pp. 392-418

Persistent link: https://www.econbiz.de/10009507706

A Three-factor defaultable term structure model

Schmid, Bernd; Zagst, Rudi - In: The journal of fixed income 10 (2000) 2, pp. 63-79

Persistent link: https://www.econbiz.de/10001530347

Impact of factor models on portfolio risk measures : a structural approach

Escobar, Marcos; Frielingsdorf, Tobias; Zagst, Rudi - In: The journal of credit risk : published quarterly by … 8 (2012) 2, pp. 47-79

Persistent link: https://www.econbiz.de/10009673647

Explaining aggregated recovery rates

Höcht, Stephan; Wieczorek, Jakub; Zagst, Rudi - In: Risks : open access journal 10 (2022) 1, pp. 1-30

This study on explaining aggregated recovery rates (ARR) is based on the largest existing loss and recovery database for commercial loans provided by Global Credit Data, which includes defaults from 5 continents and over 120 countries. The dependence of monthly ARR from bank loans on various...

Persistent link: https://www.econbiz.de/10012805466