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The predictive strength of MBS yield spreads during asset bubbles
Deku, Solomon Y.; Kara, Alper; Semeyutin, Artur - In: Review of quantitative finance and accounting 56 (2021) 1, pp. 111-142
Persistent link: https://www.econbiz.de/10012432632
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Hedging of synthetic CDO tranches with spread and default risk based on a combined forecasting approach
Liu, Wen-Qiong; Huang, Wen-Li - In: International journal of theoretical and applied finance 22 (2019) 2, pp. 1-17
Persistent link: https://www.econbiz.de/10012012947
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Stress testing and model validation : application of the Bayesian approach to a credit risk portfolio
Jacobs, Michael <Jr.>; Karagozoglu, Ahmet K.; … - In: The journal of risk model validation 9 (2015) 3, pp. 41-70
Persistent link: https://www.econbiz.de/10011410323
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Efficient computation of Value-at-Risk and Expected Shortfall in large and heterogeneous credit portfolios: application to default risk charge
Lehdili, Noureddine; Givi, Arshia - In: Risk and decision analysis 7 (2018) 3/4, pp. 91-105
Persistent link: https://www.econbiz.de/10012174432
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Quantification of model risk with an application to probability of default estimation and stress testing for a large corporate portfolio
Jacobs, Michael <Jr.> - In: The journal of risk model validation 16 (2022) 3, pp. 73-111
Persistent link: https://www.econbiz.de/10014540601
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Predicting agency prepayments in the current market environment : why yesterday's predictive models won't hold water today
Weiner, Jonathon; Winter, Wesley; Lundstedt, Kyle G. - In: The journal of structured finance 16 (2010) 1, pp. 21-27
Persistent link: https://www.econbiz.de/10003983751
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Completing the picture of loan modifications
Barnett, Larry; Pugh, Bill - In: The journal of structured finance 16 (2010) 1, pp. 28-32
Persistent link: https://www.econbiz.de/10003983753
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Using predictive analytics to support MBS servicing and loss mitigation
Milner, Mark F. - In: The journal of structured finance 16 (2010) 2, pp. 28-32
Persistent link: https://www.econbiz.de/10008652575
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Forecasting and stress-testing US vehicles ABS deals
Calcagno, Juan Carlos; Hu, Jian; Kanigel, Benjamin - In: The journal of structured finance 19 (2013) 1, pp. 9-27
Persistent link: https://www.econbiz.de/10010339907
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Predicting and hedging credit portfolio risk with macroeconomic factors
Bär, Tobias - 2002
Persistent link: https://www.econbiz.de/10001649713