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Incorporating prediction and estimation risk in point-in-time credit portfolio models
Hamerle, Alfred; Knapp, Michael; Liebig, Thilo; … - 2005
In this paper we focus on the analysis of the effect of prediction and estimation risk on the loss distribution, risk measures and economic capital. When variables for the determination of probability of default and loss distribution have to be predicted because they are not available at the...
Persistent link: https://www.econbiz.de/10010295906
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Incorporating prediction and estimation risk in point-in-time credit portfolio models
Hamerle, Alfred; Knapp, Michael; Liebig, Thilo; … - Deutsche Bundesbank - 2005
In this paper we focus on the analysis of the effect of prediction and estimation risk on the loss distribution, risk measures and economic capital. When variables for the determination of probability of default and loss distribution have to be predicted because they are not available at the...
Persistent link: https://www.econbiz.de/10005082814
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Modelling loss given default: a "point in time" approach
Hamerle, Alfred; Knapp, Michael; Wildenauer, Nicole - In: The Basel II risk parameters : estimation, validation, …, (pp. 127-142). 2006
Persistent link: https://www.econbiz.de/10003376030
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Incorporating prediction and estimation risk in point-in-time credit portfolio models
Hamerle, Alfred; Knapp, Michael; Liebig, Thilo; … - 2005
Persistent link: https://www.econbiz.de/10003313001
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Auswirkungen unterschiedlicher Assetkorrelationen in Mehr-Sektoren-Kreditportfoliomodellen
Hamerle, Alfred; Knapp, Michael; Wildenauer, Nicole - 2005
Persistent link: https://www.econbiz.de/10003228299
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Incorporating prediction and estimation risk in point-in-time credit portfolio models
Hamerle, Alfred; Knapp, Michael; Liebig, Thilo; … - 2005
In this paper we focus on the analysis of the effect of prediction and estimation risk on the loss distribution, risk measures and economic capital. When variables for the determination of probability of default and loss distribution have to be predicted because they are not available at the...
Persistent link: https://www.econbiz.de/10003209701
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CREDIT RISK: Default and recovery correlations - a dynamic econometric approach
Hamerle, Alfred; Knapp, Michael; Wildenauer, Nicole - In: Risk : managing risk in the world's financial markets 20 (2007) 1, pp. 100-105
Persistent link: https://www.econbiz.de/10007589223
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Incorporating Prediction and Estimation Risk in Point-in-Time Credit Portfolio Models
Hamerle, Alfred - 2016
Persistent link: https://www.econbiz.de/10012989315
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Multi-Faktor-Modell zur Bestimmung segmentspezifischer Ausfallwahrscheinlichkeiten für die Kredit-Portfolio-Steuerung
Knapp, Michael - In: Informationssysteme in der Finanzwirtschaft : mit 35 …, (pp. 345-359). 1998
Persistent link: https://www.econbiz.de/10001303894
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Econometric methods for sector analysis
Boegelein, Leif; Hamerle, Alfred; Knapp, Michael; … - In: CreditRisk+ in the banking industry, (pp. 231-248). 2004
Persistent link: https://www.econbiz.de/10002108704