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Rating frailty, Bayesian updates, and portfolio credit risk analysis
Bu, Shang; Guo, Nan; Li, Lingfei - In: Quantitative finance 22 (2022) 4, pp. 777-797
Persistent link: https://www.econbiz.de/10013367859
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Stress testing and modelling of rating migration under the Vasicek model framework : empirical approaches and technical implementation
Yang, Bill Huajian; Du, Zunwei - In: The journal of risk model validation 9 (2015) 2, pp. 33-47
Persistent link: https://www.econbiz.de/10011326309
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Basel regulatory capital formula revised
Yang, Yimin; Wu, Min - In: International journal of financial engineering 8 (2021) 3, pp. 1-19
Persistent link: https://www.econbiz.de/10012655060
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Systematic credit risk in securitised mortgage portfolios
Lee, Yong Woong; Rösch, Daniel; Scheule, Harald - In: Journal of banking & finance 122 (2021), pp. 1-19
Persistent link: https://www.econbiz.de/10012659310
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On the cyclicality of default rates of banks : a comparative study of the asset correlation and diversification effects
Blümke, Oliver - In: Journal of empirical finance 47 (2018), pp. 65-77
Persistent link: https://www.econbiz.de/10012103483
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How a credit run affects asset correlation
Imanto, Christopher Paulus - In: The journal of credit risk : published quarterly by … 18 (2022) 2, pp. 1-26
Persistent link: https://www.econbiz.de/10014546385