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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
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A dimension reduction approach for loss valuation in credit risk modeling
He, Jian; Khedher, Asma; Spreij, Peter - In: International journal of financial engineering 11 (2024) 1, pp. 1-48
Persistent link: https://www.econbiz.de/10014521382
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A generalized single common factor model of portfolio credit risk
Kupiec, Paul H. - In: The journal of derivatives : the official publication … 15 (2008) 3, pp. 25-40
Persistent link: https://www.econbiz.de/10003673343
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Loss distributions : computational efficiency in an extended framework
Stahl, Daniel H. - In: The journal of credit risk : published quarterly by … 11 (2015) 4, pp. 29-42
Persistent link: https://www.econbiz.de/10011442456
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Fast approximation of loan portfolio loss
Bai, Jenny; Seppälä, Heikki; Poon, Ser-Huang - In: Global credit review 4 (2014), pp. 67-85
Persistent link: https://www.econbiz.de/10010422179
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Large deviations in multifactor portfolio credit risk
Glasserman, Paul; Kang, Wanmo; Shahabuddin, Perwez - In: Mathematical finance : an international journal of … 17 (2007) 3, pp. 345-379
Persistent link: https://www.econbiz.de/10003626548
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Considering the dependence between the credit loss severity and the probability of default in the estimate of portfolio credit risk : an experimental analysis
Di Clemente, Annalisa - In: Studi economici : rivista quadrimestrale 68 (2013) 1, pp. 5-24
Persistent link: https://www.econbiz.de/10010389432
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Extreme Portfolio Loss Correlations in Credit Risk
Mühlbacher, Andreas - 2017
the case of large, overlapping credit portfolios. We analytically calculate the multivariate joint loss distribution of … to protect the more senior tranches from high losses. We analytically corroborate the observation that an extreme loss of … the subordinated creditor is likely to also yield a large loss of the senior creditor …
Persistent link: https://www.econbiz.de/10012953187
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When uncertainty decouples expected and unexpected losses
Juselius, Mikael; Tarashev, Nikola A. - 2022
Persistent link: https://www.econbiz.de/10012888255