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Credit Risk Factor Modeling and the Basel II IRB Approach
Hamerle, Alfred; Liebig, Thilo; Rösch, Daniel - 2003
Default probabilities (PDs) and correlations play a crucial role in the New Basel Capital Accord. In commercial credit risk models they are an important constituent. Yet, modeling and estimation of PDs and correlations is still under active discussion. We show how the Basel II one factor model...
Persistent link: https://www.econbiz.de/10010295887
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Arbitrage pricing theory und empirische Bestimmung von fundamentalen und makroökonomischen Risikofaktoren an Kapitalmärkten
Hamerle, Alfred - 1996
Persistent link: https://www.econbiz.de/10000959332
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Credit risk factor modeling and the Basel II IRB approach
Hamerle, Alfred (contributor); Liebig, Thilo (contributor);  … - 2003
Persistent link: https://www.econbiz.de/10002133114
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Market proxy inefficiency, factor misspecification, and CAPM-tests based on the cross-section of returns
Hamerle, Alfred - 2000
Persistent link: https://www.econbiz.de/10013408255
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Zur Ermittlung systematischer Risikofaktoren und Korrelationen in "bedingten" Kreditportfoliomodellen
Hamerle, Alfred - 2000
Persistent link: https://www.econbiz.de/10013408256
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Ineffizienz des Indexportefeuilles und Rendite-Risiko-Beziehung
Hamerle, Alfred - 1995
Persistent link: https://www.econbiz.de/10013408488
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Market proxy inefficiency and tests of beta-pricing models based on the cross-section returns
Hamerle, Alfred - 1998
Persistent link: https://www.econbiz.de/10013453323
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Correlations and business cycles of credit risk : evidence from bankruptcies in Germany
Rösch, Daniel - 2003
Persistent link: https://www.econbiz.de/10001827234
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Zur "internen" Erfolgsmessung von Portfoliomanagern
Rösch, Daniel - 2000
Persistent link: https://www.econbiz.de/10013408257