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Quantification of central counterparty risk
Arnsdorf, Matthias - In: Journal of risk management in financial institutions 5 (2011/12) 3, pp. 273-287
Persistent link: https://www.econbiz.de/10009565848
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Quantification of central counterparty risk
Arnsdorf, Matthias - In: Journal of risk management in financial institutions 5 (2011/12) 3, pp. 273-287
Persistent link: https://www.econbiz.de/10010004678
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BSLP: Markovian bivariate spread-loss model for portfolio credit derivatives
Arnsdorf, Matthias; Halperin, Igor - In: The journal of computational finance 12 (2008/09) 2, pp. 77-107
Persistent link: https://www.econbiz.de/10009534630
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Bayesian backtesting for counterparty risk models
Zelvyte, Mante; Arnsdorf, Matthias - In: The journal of risk model validation 17 (2023) 2, pp. 1-27
Persistent link: https://www.econbiz.de/10014485763