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Inaccurate dependence measures in credit models for non-normal variables
Moreira, Fernando - In: Banking and finance review 3 (2011) 2, pp. 159-176
Persistent link: https://www.econbiz.de/10009729632
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Estimating portfolio credit losses in downturns
Moreira, Fernando - In: Financial markets, institutions & instruments 24 (2015) 5, pp. 391-414
Persistent link: https://www.econbiz.de/10011412170
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Copula-based formulas to estimate unexpected credit losses (the future of Basel accords?)
Moreira, Fernando - In: Financial markets, institutions & instruments 19 (2010) 5, pp. 381-404
Persistent link: https://www.econbiz.de/10008901698
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Checking for asymmetric default dependence in a credit card portfolio : a copula approach
Crook, Jonathan N.; Moreira, Fernando - In: Journal of empirical finance 18 (2011) 4, pp. 728-742
Persistent link: https://www.econbiz.de/10009306529
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Systemic risk among European banks : a copula approach
Kleinow, Jacob; Moreira, Fernando - In: Journal of international financial markets, … 42 (2016), pp. 27-42
Persistent link: https://www.econbiz.de/10011673405