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Intertemporal forecasts of defaulted bond recoveries and portfolio losses

Kalotay, Egon A.; Altman, Edward I. - In: Review of finance : journal of the European Finance … 21 (2017) 1, pp. 433-463

Persistent link: https://www.econbiz.de/10011778628

International Financial Reporting Standard 9 expected credit loss estimation : advanced models for estimating portfolio loss and weighting scenario losses

Yang, Bill Huajian; Wu, Biao; Cui, Kaijie; Du, Zunwei; … - In: The journal of risk model validation 14 (2020) 1, pp. 19-34

Persistent link: https://www.econbiz.de/10014335910

VaR methodology for non-Gaussian finance

Habart-Corlosquet, Marine; Janssen, Jacques; Manca, Raimondo - 2013

Persistent link: https://www.econbiz.de/10011386702

VaR methodology for non-gaussian finance

Habart-Corlosquet, Marine; Janssen, Jacques; Manca, Raimondo - 2013 - 1. Aufl.

With the impact of the recent financial crises, more attention must be given to new models in finance rejecting “Black-Scholes-Samuelson” assumptions leading to what is called non-Gaussian finance. With the growing importance of Solvency II, Basel II and III regulatory rules for insurance...