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Extended saddlepoint methods for credit risk measurement
García-Céspedes, Rúben; Moreno, Manuel - In: The journal of computational finance 20 (2016) 2, pp. 1-37
Persistent link: https://www.econbiz.de/10011656202
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Credit risk measurement : new approaches to value at risk and other paradigms
Saunders, Anthony - 1999
Persistent link: https://www.econbiz.de/10000682884
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Stress testing for financial institutions : applications, regulations and techniques
Rösch, Daniel (ed.) - 2008
Persistent link: https://www.econbiz.de/10008738705
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Zeitabhängige Kreditportfoliomodelle
Knapp, Michael - 2002 - 1. Aufl.
Persistent link: https://www.econbiz.de/10001641394
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Credit Risk Measurement and Management : die Quantifizierung und Steuerung des Kreditrisikos im inländischen Bankgeschäft
Blattmann, Patrick A. - 2000
Persistent link: https://www.econbiz.de/10001603726
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Komplexität und hybride quantitativ-evolutionäre Ansätze im Kreditportfoliorisikomanagement
Schlottmann, Frank - 2003
Persistent link: https://www.econbiz.de/10001913918
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Measuring risk in complex stochastic systems
Franke, Jürgen (ed.) - 2000
Persistent link: https://www.econbiz.de/10001464339
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Aktives Kreditrisikomanagement : Portfoliomodelle & innovative Produkte
Schulze, Claudia; Pfeiffer, Verena; Witzke, Torsten - 2001
Persistent link: https://www.econbiz.de/10013433861
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Default dependence : the equity default relationship
Turnbull, Stuart M. (contributor); Yang, Jun (contributor) - 2008
The paper examines three equity-based structural models to study the nonlinear relationship between equity and credit default swap (CDS) prices. These models differ in the specification of the default barrier. With cross-firm CDS premia and equity information, we are able to estimate and compare...
Persistent link: https://www.econbiz.de/10003641322