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Copula choice with factor credit portfolio models
Hamerle, Alfred; Plank, Kilian - In: Statistical modelling and regression structures : …, (pp. 321-336). 2010
Persistent link: https://www.econbiz.de/10003964496
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A bottom-up dynamic model of portfolio credit risk : part I ; Markov copula perspective
Bielecki, Tomasz R.; Cousin, Areski; Crépey, Stéphane; … - In: Recent advances in financial engineering 2012 : …, (pp. 25-49). 2014
Persistent link: https://www.econbiz.de/10010359909
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Pricing forward-starting collateralized debt obligations using dynamic copula processes
Totouom, Daniel; Armstrong, Margaret - In: The credit derivatives handbook : global perspectives, …, (pp. 259-288). 2008
Persistent link: https://www.econbiz.de/10003748424
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Efficient simulations for a Bernoulli mixture model of portfolio credit risk
Başoğlu, İsmail; Hörmann, Wolfgang; Sak, Halis - In: Advances of OR in commodities and financial modeling, (pp. 113-128). 2018
Persistent link: https://www.econbiz.de/10011871371
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Aspekte der stochastischen Modellierung von Ausfallwahrscheinlichkeiten in Kreditportfoliomodellen
Kiesel, Rüdiger; Schmid, Bernd - In: Kreditrisikomanagement : Portfoliomodelle und Derivate, (pp. 51-83). 2000
Persistent link: https://www.econbiz.de/10001491332
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Worst-Case Analysen des Ausfallrisikos eines Portfolios aus marktabhängigen Finanzderivaten
Barth, Jörn - In: Kreditrisikomanagement : Portfoliomodelle und Derivate, (pp. 107-148). 2000
Persistent link: https://www.econbiz.de/10001491336
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Worst-Case Analysen des Ausfallrisikos eines Portfolios aus marktabhängigen Finanzderivaten
Barth, Jörn - In: Kreditrisikomanagement : Kernbereiche, Aufsicht und …, (pp. 115-156). 2002
Persistent link: https://www.econbiz.de/10001720335
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Zu den Ursachen des Correlation Smiles
Hager, Svenja; Schöbel, Rainer - In: Finanzierungstheorie auf vollkommenen und …, (pp. 219 - 233). 2008
Persistent link: https://www.econbiz.de/10014560876
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Enhanced index tracking with CVaR-based ratio measures
Guastaroba, Gianfranco; Mansini, Renata; Ogryczak, … - In: Stochastic optimization: theory and applications, (pp. 883-931). 2020
Persistent link: https://www.econbiz.de/10012290853
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A control systems approach for credit risk simulation and control of a loan portfolio
Leventides, J.; Stavraki, S.; Pandis, Ch. - In: Computational techniques for banking and risk management, (pp. 1-30). 2013
Persistent link: https://www.econbiz.de/10010199081