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The role of industry, geography and firm heterogeneity in credit risk diversification

Pesaran, M. Hashem (contributor); … - 2005

Persistent link: https://www.econbiz.de/10002846315

Scope for credit risk diversification

Hanson, Samuel G. (contributor); … - 2005

Persistent link: https://www.econbiz.de/10002808771

Macroeconomics dynamics and credit risk : a global perspective

Pesaran, M. Hashem (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001766064

Macroeconomic dynamics and credit risk : a global perspective

Pesaran, M. Hashem; Schuermann, Til; Treutler, Björn-Jakob - In: Journal of money, credit and banking : JMCB 38 (2006) 5, pp. 1211-1261

Persistent link: https://www.econbiz.de/10003353293

Macroeconomic dynamics and credit risk : a global perspective

Schuermann, Til; Treutler, Björn-Jakob; Weiner, Scott M.; … - 2003

We develop a framework for modeling conditional loss distributions through the introduction of risk factor dynamics. Asset value changes of a credit portfolio are linked to a dynamic global macroeconometric model, allowing macro effects to be isolated from idiosyncratic shocks. Default...

Persistent link: https://www.econbiz.de/10011508097