Similar Search Results

Correlations and business cycles of credit risk : evidence from bankruptcies in Germany

Rösch, Daniel - 2003

Persistent link: https://www.econbiz.de/10001827234

Correlations and business cycles of credit risk : evidence from bankruptcies in Germany

Rösch, Daniel - In: Financial markets and portfolio management 17 (2003) 3, pp. 309-331

Persistent link: https://www.econbiz.de/10001930082

Mehrperiodenausfallprognose eines Bankportfolios aus deutschen mittelständischen Unternehmen

Wolter, Marcus; Rösch, Daniel - In: Kredit und Kapital 45 (2012) 2, pp. 189-217

Persistent link: https://www.econbiz.de/10009580915

Assetkorrelationen der Schlüsselbranchen in Deutschland

Hamerle, Alfred; Liebig, Thilo; Rösch, Daniel - In: Die Bank (2002) 7, pp. 470-473

Persistent link: https://www.econbiz.de/10001677942

Zur Ermittlung systematischer Risikofaktoren und Korrelationen in "bedingten" Kreditportfoliomodellen

Hamerle, Alfred - 2000

Persistent link: https://www.econbiz.de/10013408256

Ineffizienz des Indexportefeuilles und Rendite-Risiko-Beziehung

Hamerle, Alfred - 1995

Persistent link: https://www.econbiz.de/10013408488

Prognose von Kreditausfallrisiken

Scheule, Harald - 2003

Persistent link: https://www.econbiz.de/10013427344

Forecasting Credit Portfolio Risk

Hamerle, Alfred; Liebig, Thilo; Scheule, Harald - 2004

The main challenge of forecasting credit default risk in loan portfolios is forecasting the default probabilities and the default correlations. We derive a Merton-style threshold-value model for the default probability which treats the asset value of a firm as unknown and uses a factor model...

Persistent link: https://www.econbiz.de/10010295888

Forecasting credit portfolio risk

Hamerle, Alfred (contributor); Liebig, Thilo (contributor); … - 2004

Persistent link: https://www.econbiz.de/10002133168

Dynamic modeling of credit portfolio risk with time-discrete Hzard rates

Hamerle, Alfred - 2002

Persistent link: https://www.econbiz.de/10013408266