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Dependence of defaults and recoveries in structural credit risk models
Schäfer, Rudi; Koivusalo, Alexander F. R. - In: Economic modelling 30 (2013), pp. 1-9
Persistent link: https://www.econbiz.de/10009702275
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Loss distributions : computational efficiency in an extended framework
Stahl, Daniel H. - In: The journal of credit risk : published quarterly by … 11 (2015) 4, pp. 29-42
Persistent link: https://www.econbiz.de/10011442456
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Extreme Portfolio Loss Correlations in Credit Risk
Mühlbacher, Andreas - 2017
the case of large, overlapping credit portfolios. We analytically calculate the multivariate joint loss distribution of … to protect the more senior tranches from high losses. We analytically corroborate the observation that an extreme loss of … the subordinated creditor is likely to also yield a large loss of the senior creditor …
Persistent link: https://www.econbiz.de/10012953187
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Quantifying the skewness loss of diversification
Xiong, James X.; Idzorek, Thomas M. - In: Journal of investment management : JOIM 17 (2019) 2, pp. 76-88
Persistent link: https://www.econbiz.de/10012254280
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A Markov-switching generalized additive model for compound Poisson processes, with applications to operational loss models
Hambuckers, J.; Kneib, Thomas; Langrock, Roland; … - In: Quantitative finance 18 (2018) 10, pp. 1679-1698
Persistent link: https://www.econbiz.de/10012259864
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Various approximations of the total aggregate loss quantile function with application to operational risk
Griffiths, Ross; Mnif, Walid - In: The journal of operational risk 12 (2017) 2, pp. 23-46
Persistent link: https://www.econbiz.de/10011775504
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Operational risk modelling in insurance and banking
Vukovic, Ognjen - In: Inventi impact: microfinance & banking (2016) 3, pp. 172-184
Persistent link: https://www.econbiz.de/10011567927
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Die Bewertung von Verlustvorträgen und Tax Shields auf arbitragefreien Märkten
Streitferdt, Felix - In: Journal of business economics : JBE 80 (2010) 10, pp. 1041-1074
Persistent link: https://www.econbiz.de/10008661328
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Goodness-of-fit tests and selection methods for operational risk
Lavaud, Sophie; Lehérissé, Vincent - In: The journal of operational risk 9 (2014/2015) 3, pp. 21-50
Persistent link: https://www.econbiz.de/10013262970
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Modeling diversification and spillovers of loan portfolios' losses by LHP approximation and copula
Lee, Yong Woong; Yang, Kisung - In: International review of financial analysis 66 (2019), pp. 1-14
Persistent link: https://www.econbiz.de/10012208950