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"Nie mehr Bootstrapping"
Gruber, Walter; Overbeck, Ludger - In: Finanzmarkt und Portfolio-Management 12 (1998) 1, pp. 59-73
Persistent link: https://www.econbiz.de/10006097042
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Basel II: The maturity effect on credit risk capital - The authors argue that the Basel II maturity factor should be set considerably lower.
Kalkbrener, Michael; Overbeck, Ludger - In: Risk : managing risk in the world's financial markets 15 (2002) 7, pp. 59-64
Persistent link: https://www.econbiz.de/10007036012
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Estimation in the Cox-Ingersoll-Ross Model
Overbeck, Ludger; Rydén, Tobias - In: Econometric theory 13 (1997) 3, pp. 430-462
Persistent link: https://www.econbiz.de/10006998058
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Credit risk: Calibration of PD term structures: to be Markov or not to be - A common discussion in credit risk modelling is the question of whether term structures of default proba...
Bluhm, Christian; Overbeck, Ludger - In: Risk : managing risk in the world's financial markets 20 (2007) 11, pp. 98-103
Persistent link: https://www.econbiz.de/10007882933
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Semi-analytic Approaches to Collateralized Debt Obligation Modelling
Bluhm, Christian; Overbeck, Ludger - In: Economic notes : economic review of Banca Monte dei … 33 (2004) 2, pp. 233-256
Persistent link: https://www.econbiz.de/10006020656
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Modeling Default Dependence with Threshold Models
Overbeck, Ludger; Schmidt, Wolfgang - In: The journal of derivatives : the official publication … 12 (2005) 4, pp. 10-19
Persistent link: https://www.econbiz.de/10005921780
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DYNAMIC CDO TERM STRUCTURE MODELING
Filipović, Damir; Overbeck, Ludger; Schmidt, Thorsten - In: Mathematical finance : an international journal of … 21 (2011) 1, pp. 53-72
Persistent link: https://www.econbiz.de/10008770328
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Abhandlungen - Stochastic Essentials for the Risk Management of Credit Portfolios
Overbeck, Ludger; Stahl, Gerhard - In: Kredit und Kapital 36 (2003) 1, pp. 52-81
Persistent link: https://www.econbiz.de/10007464230
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Modelling and forecasting liquidity supply using semiparametric factor dynamics
Härdle, Wolfgang Karl; Hautsch, Nikolaus; Mihoci, Andrija - In: Journal of empirical finance 19 (2012) 4, pp. 610-626
Persistent link: https://www.econbiz.de/10009996259
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Simultaneous confidence bands for expectile functions
Guo, Mengmeng; Härdle, Wolfgang Karl - In: Wirtschafts- und sozialstatistisches Archiv : ASTA ; … 96 (2012) 4, pp. 517-542
Persistent link: https://www.econbiz.de/10010036476