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Risk measurement, risk management, and capital adequacy in financial conglomerates
Kuritzkes, Andrew; Schuermann, Til; Weiner, Scott M. - In: Brookings-Wharton papers on financial services 6 (2003), pp. 141-193
Persistent link: https://www.econbiz.de/10001788614
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Credit rating dynamics and Markov mixture models
Frydman, Halina (contributor); Schuermann, Til (contributor) - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002445219
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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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What do we know about loss given default?
Schuermann, Til (contributor) - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001944584
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Measurement and estimation of credit migration matrices
Schuermann, Til (contributor); Jafry, Yusuf (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001754507
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What we know, don't know, and can't know about bank risk : a view from the trenches
Kuritzkes, Andrew; Schuermann, Til - In: The known, the unknown, and the unknowable in financial …, (pp. 103-144). 2010
Persistent link: https://www.econbiz.de/10003991922
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Macroeconomic dynamics and credit risk : a global perspective
Pesaran, M. Hashem; Schuermann, Til; Treutler, Björn-Jakob - In: Journal of money, credit and banking : JMCB 38 (2006) 5, pp. 1211-1261
Persistent link: https://www.econbiz.de/10003353293
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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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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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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