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Modeling credit losses for multiple loan portfolios
Gapko, Petr; S̆mid, Martin - In: Finance a úvěr 69 (2019) 6, pp. 558-579
Persistent link: https://www.econbiz.de/10012303180
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Multi-period structural model of a mortgage portfolio with cointegrated factors
Gapko, Petr; Šmíd, Martin - In: Finance a úvěr 66 (2016) 6, pp. 565-574
Persistent link: https://www.econbiz.de/10011582648
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Aggregation level in stress testing models
Hale, Galina; Krainer, John; McCarthy, Erin - 2015
Persistent link: https://www.econbiz.de/10011529369
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The impact of different default triggers on CMBS risk evaluation
Christopoulos, Andreas D. - In: Journal of investment management : JOIM 15 (2017) 2, pp. 65-91
Persistent link: https://www.econbiz.de/10011700690
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Endogenous/exogenous segmentation in the A-IRB framework and the pro-cyclicality of capital : an application to mortgage portfolios
Canals-Cerdá, José J. - 2017
Persistent link: https://www.econbiz.de/10011689295
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Estimating expected and unexpected losses for agricultural mortgage portfolios
Dressler, Jonathan B.; Tauer, Loren W. - In: American journal of agricultural economics 98 (2016) 5, pp. 1470-1485
Persistent link: https://www.econbiz.de/10011635556
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Procyclicality of capital and portfolio segmentation in the advanced internal ratings-based framework : an application to mortgage portfolios
Canals-Cerdá, José J. - In: The journal of risk model validation 12 (2018) 3, pp. 1-27
Persistent link: https://www.econbiz.de/10011991951
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Loss coverage and stress testing mortgage portfolios : a non-parametric approach
Rodríguez, Adolfo; Trucharte, Carlos - In: Journal of financial stability 3 (2007) 4, pp. 342-367
Persistent link: https://www.econbiz.de/10003780560
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Immobilien als vorrangige Asset Klasse in NPL-Portfolios
Aumann, Stefan; Vogel, Ludwig - In: Non Performing Loans (NPL) : Problemkredite - …, (pp. 267-283). 2006
Persistent link: https://www.econbiz.de/10003322440
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Application of stochastic optimal control to financial market debt crises
Stein, Jerome L. - 2009
recent subprime mortgage crisis. Why did the financial markets fail to anticipate the recent debt crisis, despite the large … early warning signal of the recent crisis. -- Stochastic optimal control ; dynamic optimization ; mortgage crisis ; Ito …
Persistent link: https://www.econbiz.de/10003807893