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Correlated defaults, temporal correlation, expert information and predictability of default rates
Kiefer, Nicholas Maximilian - In: Econometric reviews 36 (2017) 6/9, pp. 699-712
Persistent link: https://www.econbiz.de/10011795379
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Relating top-down with bottom-up approaches in the evaluation of ABS with large collateral pools
Diener, Nicolas; Jarrow, Robert A.; Protter, Philip E. - In: International journal of theoretical and applied finance 15 (2012) 2, pp. 1-20
Persistent link: https://www.econbiz.de/10009624528
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A business cycle approach to rating based credit risk modeling
Trück, Stefan - 2005
Persistent link: https://www.econbiz.de/10003734838
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Applied quantitative finance
Härdle, Wolfgang (ed.); Hautsch, Nikolaus (ed.);  … - 2009 - 2. ed.
Persistent link: https://www.econbiz.de/10003719524
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Riding the yield curve : a variety of strategies
Bieri, David S.; Chincarni, Ludwig B. - In: The journal of fixed income 15 (2005) 2, pp. 6-35
Persistent link: https://www.econbiz.de/10003229842
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Applied quantitative finance : theory and computational tools
Härdle, Wolfgang; Stahl, Gerhard - 2002
Persistent link: https://www.econbiz.de/10001676122
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Predicting and hedging credit portfolio risk with macroeconomic factors
Bär, Tobias - 2002
Persistent link: https://www.econbiz.de/10001649713
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An interpretable Comprehensive Capital Analysis and Review (CCAR) neural network model for portfolio loss forecasting and stress testing
Chen, Heng Z. - In: The journal of credit risk : published quarterly by … 17 (2021) 3, pp. 141-161
Persistent link: https://www.econbiz.de/10012816950
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Uncovering the mesoscale structure of the credit default swap market to improve portfolio risk modelling
Anagnostou, I.; Squartini, T.; Kandhai, D.; Garlaschelli, D. - In: Quantitative finance 21 (2021) 9, pp. 1501-1518
Persistent link: https://www.econbiz.de/10012624151
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Applied Quantitative Finance : Theory and Computational Tools
Härdle, Wolfgang - 2002
problems in quantitative finance. The combination of practice and theory supported by computational tools is reflected in the …, practitioners access to new methods for their applications. The e-book design of the text links theory and computational tools in an …
Persistent link: https://www.econbiz.de/10013523096