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Risikoadäquate Integration von Kreditverbriefungen in Kreditportfoliomodelle : Berücksichtigung der Risikoeigenschaften von CDO-Tranchen mit Hilfe der Bond-Repräsentation
Hamerle, Alfred; Jobst, Rainer - In: Risiko-Manager (2011) 1, pp. 1,8-17
Persistent link: https://www.econbiz.de/10008778766
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Mehrjährige makroökonomische Stresstests : ein ökonometrischer Ansatz ; Stressszenarien im Bankenportfolio
Hamerle, Alfred; Jobst, Rainer; Lerner, Matthias - In: Risiko-Manager (2008) 9, pp. 1,8-15
Persistent link: https://www.econbiz.de/10003691460
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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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Spekulation oder Diversifikation? : strukturierte Kreditverbriefungen
Hamerle, Alfred; Schropp, Hans-Jochen - In: Risiko-Manager (2010) 20, pp. 1,10-22
Persistent link: https://www.econbiz.de/10008660050
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VaR-Dekomposition und Diversifikationseffekte : systematische und idiosynkratische Risiken
Hamerle, Alfred; Knapp, Michael; Werndl, Thomas - In: Risiko-Manager (2011) 9, pp. 1,8-17
Persistent link: https://www.econbiz.de/10008991560
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Integrating macroeconomic risk factors into credit portfolio models
Hamerle, Alfred; Dartsch, Andreas; Jobst, Rainer; … - In: The journal of risk model validation 5 (2011) 2, pp. 3-24
Persistent link: https://www.econbiz.de/10009356832
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Dynamic modeling of the correlation smile
Hamerle, Alfred; Scherr, Christian - In: Empirical economic and financial research : theory, …, (pp. 305-325). 2015
Persistent link: https://www.econbiz.de/10010490100
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Correlation, smile, volatility skew, and systematic risk sensitivity of tranches
Hamerle, Alfred; Igl, Andreas; Plank, Kilian - In: The journal of derivatives : the official publication … 19 (2012) 3, pp. 9-27
Persistent link: https://www.econbiz.de/10009671109
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Valuation of complex financial instruments for credit risk transfer
Hamerle, Alfred; Igl, Andreas - In: Operations research proceedings 2010 : selected papers …, (pp. 117-122). 2011
Persistent link: https://www.econbiz.de/10009270866
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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