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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

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

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

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

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

Macroeconomic Dynamics and Credit Risk : A Global Perspective

Pesaran, M. Hashem; Schuermann, Til; Treutler, Björn-Jakob - 2021

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/10013319848

What do we know about loss given default?

Schuermann, Til - In: Credit risk models and management, (pp. 249-274). 2004

Persistent link: https://www.econbiz.de/10002432527

Firm heterogeneity and credit risk diversification

Hanson, Samuel G.; Pesaran, M. Hashem; Schuermann, Til - In: Journal of empirical finance 15 (2008) 4, pp. 583-612

Persistent link: https://www.econbiz.de/10003759687

Confidence intervals for probabilities of default

Hanson, Samuel G.; Schuermann, Til - In: Journal of banking & finance 30 (2006) 8, pp. 2281-2301

Persistent link: https://www.econbiz.de/10003355794

Global business cycles and credit risk

Pesaran, M. Hashem; Schuermann, Til; Treutler, Björn-Jakob - In: The risks of financial institutions : [...papers and …, (pp. 419-473). 2006

Persistent link: https://www.econbiz.de/10003445609

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