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Regulatory treatment of the double default effect under the New Basel Accord: how conservative is it?
Grundke, Peter - In: Review of managerial science 2 (2008) 1, pp. 37-59
Persistent link: https://www.econbiz.de/10003729989
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On the applicability of a fourier based approach to integrated market and credit portfolio models
Grundke, Peter - In: Operations research proceedings 2005 : selected papers …, (pp. 211-216). 2006
Persistent link: https://www.econbiz.de/10003347533
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Importance sampling for integrated market and credit portfolio models
Grundke, Peter - In: European journal of operational research : EJOR 194 (2009) 1, pp. 206-226
Persistent link: https://www.econbiz.de/10003835434
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Computational aspects of integrated market and credit portfolio models
Grundke, Peter - In: OR spectrum : quantitative approaches in management 29 (2007) 2, pp. 259-294
Persistent link: https://www.econbiz.de/10003464172
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Stresstests : Grundlagen und bankaufsichtliche Vorschriften
Grundke, Peter - In: Das Wirtschaftsstudium : wisu ; Zeitschrift für … 40 (2011) 1, pp. 83-87
Persistent link: https://www.econbiz.de/10008808126
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Die Messung der Kreditportfoliorisiken bei Banken
Grundke, Peter - In: Das Wirtschaftsstudium : wisu ; Zeitschrift für … 37 (2008) 4, pp. 538-550
Persistent link: https://www.econbiz.de/10003683983
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Changing default risk dependencies during the subprime crisis : DJ iTraxx subindices and goodness-of-fit-testing for copulas
Grundke, Peter - In: Review of managerial science 4 (2010) 2, pp. 91-118
Persistent link: https://www.econbiz.de/10003987045
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Top-down approaches for integrated risk management : how accurate are they?
Grundke, Peter - In: European journal of operational research : EJOR 203 (2010) 3, pp. 662-672
Persistent link: https://www.econbiz.de/10003944229
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Stresstests bei Banken : aktuelle Fragen
Grundke, Peter - In: Das Wirtschaftsstudium : wisu ; Zeitschrift für … 40 (2011) 5, pp. 680-686
Persistent link: https://www.econbiz.de/10009009573
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Further recipes for quantitative reverse stress testing
Grundke, Peter - In: The journal of risk model validation 6 (2012) 2, pp. 81-102
Persistent link: https://www.econbiz.de/10009572301