Showing 1 - 10 of 10
Persistent link: https://www.econbiz.de/10012888255
A parsimonious extension of a well-known portfolio credit-risk model allows us to study a salient stylized fact - abrupt switches between high- and low-loss phases - from a risk-management perspective. As uncertainty about phase switches increases, expected losses decouple from unexpected...
Persistent link: https://www.econbiz.de/10012814386
Persistent link: https://www.econbiz.de/10012483284
Persistent link: https://www.econbiz.de/10003540449
Persistent link: https://www.econbiz.de/10010340786
Persistent link: https://www.econbiz.de/10002516983
Persistent link: https://www.econbiz.de/10003114092
Persistent link: https://www.econbiz.de/10003118262
Persistent link: https://www.econbiz.de/10001629706
Persistent link: https://www.econbiz.de/10001636138