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~isPartOf:"The journal of credit risk : published quarterly by Incisive Media"
~subject:"Credit risk"
~subject:"USA"
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Credit risk
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The journal of credit risk : published quarterly by Incisive Media
Working paper / National Bureau of Economic Research, Inc.
24
The review of financial studies
17
Journal of banking & finance
15
Journal of international financial markets, institutions & money
12
The journal of finance : the journal of the American Finance Association
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International review of economics & finance : IREF
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Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft
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1
Estimating correlation parameters in credit portfolio models under time-varying and nonhomogeneous default probabilities
Jakob, Kevin
- In:
The journal of credit risk : published quarterly by …
18
(
2022
)
4
,
pp. 29-63
Persistent link: https://www.econbiz.de/10014247865
Saved in:
2
Asset correlation estimation for inhomogeneous exposure pools
Wunderer, Christoph
- In:
The journal of credit risk : published quarterly by …
15
(
2019
)
3
,
pp. 1-19
Persistent link: https://www.econbiz.de/10012121559
Saved in:
3
On probability of default and its relation to observed default frequency and a common factor
Oeyen, Brent
;
Celis, Oliver Salazar
- In:
The journal of credit risk : published quarterly by …
15
(
2019
)
3
,
pp. 41-66
Persistent link: https://www.econbiz.de/10012121563
Saved in:
4
Moment estimators for autocorrelated time series and their application to default correlations
Frei, Christoph
;
Wunsch, Marcus
- In:
The journal of credit risk : published quarterly by …
14
(
2018
)
1
,
pp. 1-29
Persistent link: https://www.econbiz.de/10011885453
Saved in:
5
Hermite approximations in credit portfolio modeling with probability of default-loss given default correlation
Owen, Anthony David
;
Bryers, James
;
Buet-Golfouse, Francois
- In:
The journal of credit risk : published quarterly by …
11
(
2015
)
3
,
pp. 1-20
Persistent link: https://www.econbiz.de/10011380090
Saved in:
6
Credit risk : taking fluctuating asset correlations into account
Schmitt, Thilo A.
;
Schäfer, Rudi
;
Guhr, Thomas
- In:
The journal of credit risk : published quarterly by …
11
(
2015
)
3
,
pp. 73-94
Persistent link: https://www.econbiz.de/10011380105
Saved in:
7
Two models of stochastic loss given default
Farinelli, Simone
;
Shkolnikov, Mykhaylo
- In:
The journal of credit risk : published quarterly by …
8
(
2012
)
2
,
pp. 3-20
Persistent link: https://www.econbiz.de/10009673650
Saved in:
8
Asset correlations and credit portfolio risk : an empirical analysis
Duellmann, Klaus
;
Scheicher, Martin
;
Schmieder, Christian
- In:
The journal of credit risk : published quarterly by …
4
(
2008/09
)
2
,
pp. 37-62
Persistent link: https://www.econbiz.de/10003749331
Saved in:
9
Correlation and asset correlation in the structural portfolio model
Frye, Jon
- In:
The journal of credit risk : published quarterly by …
4
(
2008/09
)
2
,
pp. 75-96
Persistent link: https://www.econbiz.de/10003749334
Saved in:
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