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Credit risk
8
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8
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6
Prognoseverfahren
6
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5
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5
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5
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Skoglund, Jimmy
16
Chen, Wei
12
Erdman, Donald
3
Karlsson, Sune
1
Nyström, Kaj
1
Vestal, Doug
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The journal of risk model validation
6
Journal of risk management in financial institutions
5
Journal of risk
2
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
1
Journal of banking & finance
1
The journal of credit risk : published quarterly by Incisive Media
1
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1
Quantification of model risk in stress testing and scenario analysis
Skoglund, Jimmy
- In:
The journal of risk model validation
13
(
2019
)
1
,
pp. 1-23
Persistent link: https://www.econbiz.de/10012020265
Saved in:
2
Stage transfer effect on impairment forecasts
Skoglund, Jimmy
;
Chen, Wei
- In:
Journal of risk management in financial institutions
11
(
2017/2018
)
3
,
pp. 244-256
Persistent link: https://www.econbiz.de/10011942536
Saved in:
3
Credit risk term-structures for lifetime impairment forecasting : a practical guide
Skoglund, Jimmy
- In:
Journal of risk management in financial institutions
10
(
2016/2017
)
2
,
pp. 177-195
Persistent link: https://www.econbiz.de/10011670671
Saved in:
4
Rating momentum in the macroeconomic stress testing and scenario analysis of credit risk
Skoglund, Jimmy
;
Chen, Wei
- In:
The journal of risk model validation
11
(
2017
)
1
,
pp. 21-47
Persistent link: https://www.econbiz.de/10011671176
Saved in:
5
Forecast of forecast : an analytical approach to stressed impairment forecasting
Skoglund, Jimmy
;
Chen, Wei
- In:
Journal of risk management in financial institutions
10
(
2016/2017
)
3
,
pp. 238-256
Persistent link: https://www.econbiz.de/10011800733
Saved in:
6
The application of credit risk models to macroeconomic scenario analysis and stress testing
Skoglund, Jimmy
;
Chen, Wei
- In:
The journal of credit risk : published quarterly by …
12
(
2016
)
2
,
pp. 1-45
Persistent link: https://www.econbiz.de/10011597887
Saved in:
7
Optimal hedging of funding liquidity risk
Chen, Wei
;
Skoglund, Jimmy
- In:
Journal of risk
16
(
2013/2014
)
3
,
pp. 85-111
Persistent link: https://www.econbiz.de/10013262925
Saved in:
8
An integrated stress testing framework via Markov switching simulation
Chen, Wei
;
Skoglund, Jimmy
- In:
The journal of risk model validation
7
(
2013
)
2
,
pp. 3-27
Persistent link: https://www.econbiz.de/10009780655
Saved in:
9
Credit valuation adjustment tail risk and the impact of wrong way trades
Skoglund, Jimmy
;
Vestal, Doug
;
Chen, Wei
- In:
Journal of risk management in financial institutions
6
(
2012/13
)
3
,
pp. 280-310
Persistent link: https://www.econbiz.de/10010197071
Saved in:
10
A mixed approach to risk aggregation using hierarcgucak copulas
Skoglund, Jimmy
;
Erdman, Donald
;
Chen, Wei
- In:
Journal of risk management in financial institutions
6
(
2012/13
)
2
,
pp. 188-205
Persistent link: https://www.econbiz.de/10009737758
Saved in:
11
Cashflow replication with mismatch constraints
Chen, Wei
;
Skoglund, Jimmy
- In:
Journal of risk
14
(
2011/12
)
4
,
pp. 115-128
Persistent link: https://www.econbiz.de/10009571588
Saved in:
12
On the time scaling af value-at-risk with trading
Skoglund, Jimmy
;
Erdman, Donald
;
Chen, Wei
- In:
The journal of risk model validation
5
(
2011
)
4
,
pp. 17-26
Persistent link: https://www.econbiz.de/10009422495
Saved in:
13
On the choice of liquidity horizon for incremental risk charges : are the incentives of banks and regulators aligned?
Skoglund, Jimmy
;
Chen, Wei
- In:
The journal of risk model validation
5
(
2011
)
3
,
pp. 37-57
Persistent link: https://www.econbiz.de/10009356746
Saved in:
14
The performance of value-at-risk models during the crisis
Skoglund, Jimmy
;
Erdman, Donald
;
Chen, Wei
- In:
The journal of risk model validation
4
(
2010/11
)
1
,
pp. 3-21
Persistent link: https://www.econbiz.de/10003971967
Saved in:
15
A credit risk model for large dimensional portfolios with application to economic capital
Nyström, Kaj
;
Skoglund, Jimmy
- In:
Journal of banking & finance
30
(
2006
)
8
,
pp. 2163-2197
Persistent link: https://www.econbiz.de/10003355715
Saved in:
16
Maximum-likelihood based inference in the two-way random effects model with serially correlated time effects
Karlsson, Sune
;
Skoglund, Jimmy
- In:
Empirical economics : a journal of the Institute for …
29
(
2004
)
1
,
pp. 79-88
Persistent link: https://www.econbiz.de/10001863281
Saved in:
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