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Three essays on credit risk
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1
Mathematical methods for the efficient assessment of market and credit risk
Reiß, Oliver
(
contributor
)
-
2003
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001820960
Saved in:
2
Decision making under risk with spectral risk measures : concepts and applications in financial
theory
Brandtner, Mario
-
2016
Persistent link: https://www.econbiz.de/10011525409
Saved in:
3
Climate Risk Measurement of Assets Eligible as
Collateral
for Refinancing Operations – Focus on Asset Backed Securities (ABS)
Loris, André
;
Grept, Alice
;
Laut, Nadia
;
Plantier, Gabriel
-
2023
This paper analyses the exposure to climate risk of ABS, an asset class frequently pledged as
collateral
in the …
Persistent link: https://www.econbiz.de/10014258296
Saved in:
4
The marginal cost of risk, risk measures, and capital allocation
Bauer, Daniel
;
Zanjani, George
- In:
Management science : journal of the Institute for …
62
(
2016
)
5
,
pp. 1431-1457
Persistent link: https://www.econbiz.de/10011487544
Saved in:
5
Comparing risk measures when aggregating market risk and credit risk using different copulas
Maciag, Jakob
;
Hesse, Frederik
;
Boeve, Rolf
;
Pfingsten, …
- In:
Journal of risk
18
(
2016
)
5
,
pp. 101-136
Persistent link: https://www.econbiz.de/10011598393
Saved in:
6
Simulating risk contributions of credit portfolios
Liu, Guangwu
- In:
Operations research
63
(
2015
)
1
,
pp. 104-121
Persistent link: https://www.econbiz.de/10010519509
Saved in:
7
Risk-based loan pricing : portfolio optimization approach with marginal risk contribution
Chun, So Yeon
;
Lejeune, Miguel A.
- In:
Management science : journal of the Institute for …
66
(
2020
)
8
,
pp. 3735-3753
Persistent link: https://www.econbiz.de/10012289204
Saved in:
8
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
Saved in:
9
Calculating capital charges for sector concentration risk
Kurtz, Cornelius
;
Lütkebohmert-Holtz, Eva
;
Sester, Julian
- In:
The journal of credit risk : published quarterly by …
14
(
2018
)
4
,
pp. 35-67
Persistent link: https://www.econbiz.de/10012041800
Saved in:
10
Leverage and default in binomial economies : a complete characterization
Fostel, Ana
;
Geanakoplos, John
- In:
Econometrica : journal of the Econometric Society, an …
83
(
2015
)
6
,
pp. 2191-2229
Persistent link: https://www.econbiz.de/10011431541
Saved in:
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