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Counterparty risk : a review

Turnbull, Stuart M. - In: Annual review of financial economics 6 (2014), pp. 241-258

Persistent link: https://www.econbiz.de/10010492516

Unemloyment and unobserved credit risk in the FHA Single Family Mortgage Insurance Fund

Gyourko, Joseph E.; Tracy, Joseph S. - 2013

Persistent link: https://www.econbiz.de/10009730614

Privacy restrictions and the use of data at credit registries

Bostic, Raphael W.; Calem, Paul Seth - In: Credit reporting systems and the international economy, (pp. 311-334). 2003

Persistent link: https://www.econbiz.de/10001783239

Are CLO collateral and tranche ratings disconnected?

Griffin, John M.; Nickerson, Jordan - In: The review of financial studies 36 (2023) 6, pp. 2319-2360

Persistent link: https://www.econbiz.de/10014320661

How much do investors rely on credit ratings : empirical evidence from the U.S. and E.U. CLO primary market

Fabozzi, Frank J.; Breemen, Vivian van; Vink, Dennis; … - In: Journal of financial services research 63 (2023) 2, pp. 221-247

Persistent link: https://www.econbiz.de/10014258846

Treatment of double default effects within the granularity adjustment for Basel II

Ebert, Sebastian; Lütkebohmert-Holtz, Eva - 2009

Within the Internal Ratings-Based (IRB) approach of Basel II it is assumed that idiosyncratic risk has been fully diversified away. The impact of undiversified idiosyncratic risk on portfolio Value-at-Risk can be quantified via a granularity adjustment (GA). We provide an analytic formula for...