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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

Application of vine copulas to credit portfolio risk modeling

Geidosch, Marco; Fischer, Matthias - In: Journal of risk and financial management : JRFM 9 (2016) 2, pp. 1-15

In this paper, we demonstrate the superiority of vine copulas over conventional copulas when modeling the dependence structure of a credit portfolio. We show statistical and economic implications of replacing conventional copulas by vine copulas for a subportfolio of the Euro Stoxx 50 and the...

Persistent link: https://www.econbiz.de/10011544001

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

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

Quantifying model risk within a CreditRisk+ framework

Fischer, Matthias; Mertel, Alexander - In: The journal of risk model validation 6 (2012) 1, pp. 47-76

Persistent link: https://www.econbiz.de/10009539312