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Financial econometrics and systemic risk
Eratalay, M. Hakan - In: Handbook of research on emerging theories, models, and …, (pp. 65-91). 2021
In this chapter, some of the many prominent and recent papers in the systemic risk literature are reviewed. In all these papers, financial econometrics methods are used whether to extract the connections between institutions or assets by analyzing the related data or to construct a measure of...
Persistent link: https://www.econbiz.de/10012604203
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Pricing CDOs with a smile : the local correlation model
Turc, Julien; Very, Philippe - In: Frontiers in quantitative finance : volatility and …, (pp. 235-250). 2009
Persistent link: https://www.econbiz.de/10003787606
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Cross- and autocorrelation in multi-period credit portfolio models
Wagner, Christoph K. J. - In: Applied quantitative finance, (pp. 125-138). 2009
Persistent link: https://www.econbiz.de/10003746011
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Valuation and VaR computation for CDOs using Stein's method
El Karoui, Nicole; Jiao, Ying; Kurtz, David - In: Applied quantitative finance, (pp. 161-189). 2009
Persistent link: https://www.econbiz.de/10003746015
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The subprime mortgage crisis and its connections with bank bailouts
Petersen, Mark A.; Senosi, M. C.; Mukuddem-Petersen, Janine - In: Finance and banking developments, (pp. 289-332). 2010
Persistent link: https://www.econbiz.de/10008860363
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Securitization
Gorton, Gary; Metrick, Andrew - 2013
Persistent link: https://www.econbiz.de/10009696019
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VaR in high dimensional systems : a conditional correlation approach
Herwartz, Helmut; Pedrinha, Bruno - In: Applied quantitative finance, (pp. 83-102). 2009
Persistent link: https://www.econbiz.de/10003745954
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Konzeptionelle und statistische Grundlagen der portfolioorientierten Kreditrisikomessung
Huschens, Stefan; Locarek-Junge, Hermann - In: Kreditrisikomanagement : Portfoliomodelle und Derivate, (pp. 25-49). 2000
Persistent link: https://www.econbiz.de/10001491328
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Konzeptionelle und statistische Grundlagen der portfolioorientierten Kreditrisikomessung
Huschens, Stefan; Locarek-Junge, Hermann - In: Kreditrisikomanagement : Kernbereiche, Aufsicht und …, (pp. 89-114). 2002
Persistent link: https://www.econbiz.de/10001720334
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Credit derivatives
Hull, John; White, Alan - 2013
Persistent link: https://www.econbiz.de/10009696025