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Impacts of the financial crisis on eurozone sovereign CDS spreads
Gündüz, Yalın; Kaya, Orcun - In: Journal of international money and finance 49 (2014), pp. 425-442
Persistent link: https://www.econbiz.de/10010464931
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CDS pricing with long memory via fractional Lévy processes
Fink, Holger Maria; Scherr, Christian - In: Journal of financial engineering 1 (2014) 4, pp. 1-35
Persistent link: https://www.econbiz.de/10010507970
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The effects of sovereign rating drifts on financial return distributions : evidence from the European Union
Do, Hung Xuan; Brooks, Robert; Sirimon Treepongkaruna; … - In: International review of financial analysis 34 (2014), pp. 5-20
Persistent link: https://www.econbiz.de/10010520405
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COVID-19 and credit risk : a long memory perspective
Yin, Jie; Han, Bingyan; Wong, Hoi Ying - In: Insurance / Mathematics & economics 104 (2022), pp. 15-34
Persistent link: https://www.econbiz.de/10013264931
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Approaches to improving bank share value using credit-portfolio management and credit-transfer pricing
Bohn, Jeffrey R.; Stein, Roger M. - In: Journal of investment management : JOIM 11 (2013) 2, pp. 47-72
Persistent link: https://www.econbiz.de/10009763913
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Forecasting probabilities of default and loss rates given default in the presence of selection
Rösch, Daniel; Scheule, Harald - In: Journal of the Operational Research Society : OR 65 (2014) 3, pp. 393-407
Persistent link: https://www.econbiz.de/10010251696
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The relationship between counterparty default and interest rate volatility and its impact on the credit risk of interest rate derivatives
Harris, Geoffrey R.; Wu, Tao L.; Yang, Jiarui - In: The journal of credit risk : published quarterly by … 11 (2015) 1, pp. 93-127
Persistent link: https://www.econbiz.de/10011298489
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Convexity and correlation effects in expected credit loss calculations for IFRS9/CECL and stress testing
Chawla, Gaurav; Forest, Lawrence R. <Jr.>; Aguais, Scott D. - In: Journal of risk management in financial institutions 10 (2016/2017) 1, pp. 99-110
Persistent link: https://www.econbiz.de/10011670653
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Operational loss with correlated frequency and severity : an analytical approach
Stahl, Daniel H. - In: The journal of operational risk 11 (2016) 2, pp. 1-17
Persistent link: https://www.econbiz.de/10011600204
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An efficient portfolio loss model
Fenger, Christian - In: The journal of credit risk : published quarterly by … 15 (2019) 3, pp. 21-39
Persistent link: https://www.econbiz.de/10012121560