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Worst-Case-Analysen des Ausfallrisikos von Finanzderivaten unter Berücksichtigung von Markteinflüssen
Barth, Jörn - 2000
Persistent link: https://www.econbiz.de/10013432848
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Credit Risk: Worst Case Scenarios for Swap Portfolios
Barth, Jörn - 1999
The first objective of this paper is to apply the model of Barth (1999) to the numerical generation of credit loss distributions of a portfolio consisting entirely of interest rate swaps ...
Persistent link: https://www.econbiz.de/10005842388
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A Simple Credit Risk Model with Individual and Collective Components
Barth, Jörn - 1999
A model for the credit risk of a portfolio of market driven financial contracts (for example swaps) is introduced.(...)
Persistent link: https://www.econbiz.de/10005842389
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Worst-Case Analysen des Ausfallrisikos eines Portfolios aus marktabhängigen Finanzderivaten
Barth, Jörn - In: Kreditrisikomanagement : Kernbereiche, Aufsicht und …, (pp. 115-156). 2002
Persistent link: https://www.econbiz.de/10001720335
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Worst-Case Analysen des Ausfallrisikos eines Portfolios aus marktabhängigen Finanzderivaten
Barth, Jörn - In: Kreditrisikomanagement : Portfoliomodelle und Derivate, (pp. 107-148). 2000
Persistent link: https://www.econbiz.de/10001491336