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CDO and HAC
Choroś, Barbara; Härdle, Wolfgang; Okhrin, Ostap - 2009
parameters, with default intensities estimated from market data and with a random loss given default that is correlated with … between the loss given default and the default times. Our approach describes the market prices better than the standard … ; loss given default …
Persistent link: https://www.econbiz.de/10003871765
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Loan loss provisioning rules, procyclicality, and financial volatility
Agénor, Pierre-Richard; Zilberman, Roy - 2013
Persistent link: https://www.econbiz.de/10009765503
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Fair value and volatility in the cases of assets securitization, derivative hedging and loan loss provisioning
Sun, Lan - In: Theoretical economics letters 5 (2015) 5, pp. 670-682
Persistent link: https://www.econbiz.de/10011439518
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Does IFRS 9 increase volatility of loan loss provisions?
Pastiranová, Oľga; Witzany, Jiří - In: Regulation of Finance and Accounting : 21st and 22nd …, (pp. 243-249). 2022
Persistent link: https://www.econbiz.de/10013448499
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From value at risk to stress testing : the extreme value approach
Longin, François M. - In: Journal of banking & finance 24 (2000) 7, pp. 1097-1130
Persistent link: https://www.econbiz.de/10001483876
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From value at risk to stress testing : the extreme value approach
Longin, François M. - 1999
Persistent link: https://www.econbiz.de/10013422797
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Momentum strategy and credit risk
Lu, Su-lien; Lee, Kuo-jung; Yu, Chia-chang - In: Applied financial economics 24 (2014) 10/12, pp. 753-762
Persistent link: https://www.econbiz.de/10010402585
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Liquidity risk and volatility risk in credit spread models : a unified approach
Perrakis, Stylianos; Zhong, Rui - In: European financial management : the journal of the … 23 (2017) 5, pp. 873-901
Persistent link: https://www.econbiz.de/10011865496
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Distance to default based on the CEV-KMV model
Su, Wen - In: Journal of risk 24 (2022) 6, pp. 45-60
Persistent link: https://www.econbiz.de/10013549670
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Applied quantitative finance
Härdle, Wolfgang (ed.); Hautsch, Nikolaus (ed.);  … - 2009 - 2. ed.
Persistent link: https://www.econbiz.de/10003719524