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Rating-transition-probability models and Comprehensive Capital Analysis and Review stress testing : methodologies and implementation

Yang, Bill Huajian; Du, Zunwei - In: The journal of risk model validation 10 (2016) 3, pp. 1-19

Persistent link: https://www.econbiz.de/10011587660

Quantifying correlation uncertainty risk in credit derivatives pricing

Turfus, Colin - In: International Journal of Financial Studies : open … 6 (2018) 2, pp. 1-20

We propose a simple but practical methodology for the quantification of correlation risk in the context of credit … derivatives pricing and credit valuation adjustment (CVA), where the correlation between rates and credit is often uncertain or …

Persistent link: https://www.econbiz.de/10011883430

Asymmetric asset correlation in credit portfolios

Cho, Yongbok; Lee, Yong Woong - In: Finance research letters 49 (2022), pp. 1-6

Persistent link: https://www.econbiz.de/10013478636

Risk management in banking : credit risk management and bank closure policies

Erlenmaier, Ulrich (contributor) - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001643266

Much ado about nothing : a study of differential pricing and liquidity of short and long term bonds

Driessen, Joost; Nijman, Theodore E.; Simon, Zorka - 2018

Are yields of long-maturity bonds distorted by demand pressure of clientele investors, regulatory effects, or default, flight-to-safety or liquidity premiums? Using data on German nominal bonds between 2005 and 2015, we study the differential pricing and liquidity of short and long maturity...

Persistent link: https://www.econbiz.de/10011940016