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Modeling sector correlations with CreditRisk+ : the commen background vector model

Fischer, Matthias; Dietz, Christian - In: The journal of credit risk : published quarterly by … 7 (2011/12) 4, pp. 23-43

Persistent link: https://www.econbiz.de/10009424790

Specification risk and calibration effects of multifactor credit portfolio model

Dorfleitner, Gregor; Fischer, Matthias; Geidosch, Marco - In: The journal of fixed income 22 (2012) 1, pp. 7-24

Persistent link: https://www.econbiz.de/10009670750

Application of vine copulas to credit portfolio risk modeling

Geidosch, Marco; Fischer, Matthias - In: Journal of risk and financial management : JRFM 9 (2016) 2, pp. 1-15

In this paper, we demonstrate the superiority of vine copulas over conventional copulas when modeling the dependence structure of a credit portfolio. We show statistical and economic implications of replacing conventional copulas by vine copulas for a subportfolio of the Euro Stoxx 50 and the...

Persistent link: https://www.econbiz.de/10011544001

A credit portfolio framework under dependent risk parameters : probability of default, loss given default and exposure at default

Eckert, Johanna; Jakob, Kevin; Fischer, Matthias - In: The journal of credit risk : published quarterly by … 12 (2016) 1, pp. 97-119

Persistent link: https://www.econbiz.de/10011566295

An analytic approach to quantify the sensitivity of CreditRisk+ with respect to its underlying assumptions

Fischer, Matthias; Kaufmann, Florian - In: The journal of risk model validation 8 (2014) 2, pp. 23-37

Persistent link: https://www.econbiz.de/10010394659

Tailabhängigkeit und Asymmetrie in multivariaten Finanzmarktdaten

Klein, Ingo; Fischer, Matthias - In: Finanzintermediation : theoretische, …, (pp. 69-101). 2004

Persistent link: https://www.econbiz.de/10002078246

Parameter estimation, bias correction and uncertainty quantification in the Vasicek credit portfolio model

Pfeuffer, Marius; Nagl, Maximilian; Fischer, Matthias; … - In: Journal of risk 22 (2019/2020) 4, pp. 1-30

Persistent link: https://www.econbiz.de/10012297503

Fast approximation methods for credit portfolio risk calculations

Jakob, Kevin; Churt, Johannes; Fischer, Matthias; Nolte, Kim - In: Digital finance : smart data analytics, investment … 5 (2023) 3/4, pp. 689-716

Persistent link: https://www.econbiz.de/10014451940