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The robustness of estimatiors in structural credit loss distributions
Batiz-Zuk, Enrique; Christodoulakis, George A.; Poon, … - In: The journal of credit risk : published quarterly by … 11 (2015) 2, pp. 67-97
Persistent link: https://www.econbiz.de/10011298505
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Credit contagion in the presence of non-normal shocks
Batiz-Zuk, Enrique; Christodoulakis, George A.; Poon, … - In: International review of financial analysis 37 (2015), pp. 129-139
Persistent link: https://www.econbiz.de/10011317232
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Modeling the credit contagion channel and its consequences via the standard portfolio credit risk model
Lee, Yong Woong; Poon, Ser-Huang - In: The journal of credit risk : published quarterly by … 10 (2014) 1, pp. 33-61
Persistent link: https://www.econbiz.de/10010373355
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Fast approximation of loan portfolio loss
Bai, Jenny; Seppälä, Heikki; Poon, Ser-Huang - In: Global credit review 4 (2014), pp. 67-85
Persistent link: https://www.econbiz.de/10010422179
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Forecasting and decomposition of portfolio credit risk using macroeconomic and frailty factors
Lee, Yong Woong; Poon, Ser-Huang - In: Journal of economic dynamics & control 41 (2014), pp. 69-92
Persistent link: https://www.econbiz.de/10010425019
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Loan portfolio loss models with more flexible asymmetry and tails for Korean banks and a comparison of their regional concentrations
Lee, Yong Woong; Poon, Ser-Huang - In: Emerging markets finance & trade : a journal of the … 51 (2015) 3, pp. 118-139
Persistent link: https://www.econbiz.de/10011404418
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Rating-based CDS curves
Kolokolova, Olga; Lin, Ming-Tsung; Poon, Ser-Huang - In: The European journal of finance 25 (2019) 7, pp. 689-723
Persistent link: https://www.econbiz.de/10012207024
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Slow- and fast-moving information content of CDS spreads : new endogenous systematic factors
Lin, Ming-Tsung; Kolokolova, Olga; Poon, Ser-Huang - In: The European journal of finance 27 (2021) 1/2, pp. 136-157
Persistent link: https://www.econbiz.de/10012424932
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Structural credit loss distributions under non-normality
Batiz-Zuk, Enrique; Christodoulakis, George A.; Poon, … - In: The journal of fixed income 23 (2013) 1, pp. 56-75
Persistent link: https://www.econbiz.de/10009783200
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Price convergence between credit default swap and put option : new evidence
Chan, Ka Kei; Kolokolova, Olga; Lin, Ming-Tsung; Poon, … - In: Journal of empirical finance 72 (2023), pp. 188-213
Persistent link: https://www.econbiz.de/10014476820