Showing 1 - 6 of 6
Persistent link: https://www.econbiz.de/10001794544
Persistent link: https://www.econbiz.de/10009624635
In "Dynamic Hedging of Portfolio Credit Risk in a Markov Copula Model", the authors introduced a Markov copula model of portfolio credit risk where pricing and hedging can be done in a sound theoretical and practical way. Further theoretical backgrounds and practical details are developed in "A...
Persistent link: https://www.econbiz.de/10013089953
Persistent link: https://www.econbiz.de/10011569906
Persistent link: https://www.econbiz.de/10014304378
Frontmatter -- Advance Praise for Reverse Stress Testing in Banking -- Acknowledgements -- Foreword -- Contents -- Part I: Fundamentals of Reverse Stress Testing -- 1 Reverse Stress Testing: A Versatile Thinking Tool -- 2 Reverse Stress Testing in Banks -- 3 Reverse Stress Testing: An Overview...
Persistent link: https://www.econbiz.de/10012534188