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Three essays in credit risk
Saita, Leandro - 2006
Persistent link: https://www.econbiz.de/10003965698
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Korrelationskonzepte zur Quantifizierung von Kreditausfallrisiken
Niethen, Susanne - 2001
Persistent link: https://www.econbiz.de/10001608302
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Underperforming performance measures? : a review of measures for loss given default models
Bijak, Katarzyna; Thomas, Lyn C. - In: The journal of risk model validation 12 (2018) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10011869725
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Measuring the diversification of a loan portfolio
Tourin, Agnès - In: International journal of bonds and derivatives 4 (2020) 2, pp. 104-113
Persistent link: https://www.econbiz.de/10012505156
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Risk measures and dependence modeling
Embrechts, Paul; Hofert, Marius - In: Handbook of Insurance : Volume II, (pp. 95-126). 2025
Persistent link: https://www.econbiz.de/10015394058
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Zero-coupon interest rates : evaluating three alternative datasets
Díaz Pérez, Antonio; Jareño, Francisco; Navarro … - 2018
The zero-coupon yield curve is a common input for most financial purposes. The authors consider three popular yield curve datasets, and explore the extent to which the decision as to what dataset to use for an application may have implications on the results. The paper illustrates why such...
Persistent link: https://www.econbiz.de/10011901875
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Financial Contagion : A Local Correlation Analysis
Inci, A. Can - 2011
Local correlation is used to examine financial contagion. We share the view of previous research that there is …
Persistent link: https://www.econbiz.de/10013128974
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A New Approach to the Unconditional Measurement of Default Risk
Ferrer, Alex - 2014
This paper analyzes the unconditional measurement of default risk and proposes an alternative modeling approach. We … begin the analysis by showing that when conducted under non-stationarity, the objective of the unconditional measurement …
Persistent link: https://www.econbiz.de/10013053382
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Default matrices : a complete measurement of banks' consumer credit delinquency
Schechtman, Ricardo - In: Journal of financial stability 9 (2013) 4, pp. 460-474
Persistent link: https://www.econbiz.de/10010423658
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Supporting a financially constrained supplier under spectral risk measures : the efficiency of buyer lending
Li, Yanhai; Gu, Chaocheng; Ou, Jinwen - In: Transportation research / E : an international journal 136 (2020), pp. 1-21
Persistent link: https://www.econbiz.de/10012233632