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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
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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
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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
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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
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Tailabhängigkeit und Asymmetrie in multivariaten Finanzmarktdaten
Klein, Ingo; Fischer, Matthias - In: Finanzintermediation : theoretische, …, (pp. 69-101). 2004
Persistent link: https://www.econbiz.de/10002078246
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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
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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