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  • Search: subject:"Default Correlations"
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Year of publication
Subject
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Korrelation 41 Default Correlations 38 Kreditrisiko 13 Portfoliomanagement 7 portfolio management 6 Basel II 5 Basler Eigenkapitalvereinbarung <2001> 5 Diversifikation 5 Default correlations 4 Diversification gains 4 Portfolio Selection 4 Copulas 3 Correlation 3 Credit portfolio management 3 Credit risk 3 Credit risk models 3 Konjunktur 3 Kopula <Mathematik> 3 Macroeconomic risk 3 Portfolio-Management 3 Pricing of loans 3 Risikomanagement 3 Theorie 3 Volatilität 3 Ertrag 2 Estimation risk 2 Optionspreistheorie 2 Portfolio selection 2 Regulierung 2 Stochastik 2 Theory 2 Varianzanalyse 2 default correlations 2 risk management 2 Änderungsrisiko 2 Aktienanleihe 1 Aktienrendite 1 Allokation 1 Analysis of variance 1 Anomalie 1
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Online availability
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Free 15 Undetermined 2
Type of publication
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Book / Working Paper 39 Article 5
Type of publication (narrower categories)
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Article in journal 2 Aufsatz in Zeitschrift 2 Working Paper 2 Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1 Thesis 1
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Language
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English 41 German 2 Undetermined 1
Author
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Rösch, Daniel 6 Erlenmaier, Ulrich 4 Scheule, Harald 4 Buraschi, Andrea 3 Chollete, Loran 3 Gersbach, Hans 3 Trojani, Fabio 3 De la Peña, Víctor H. 2 Düllmann, Klaus 2 Hajivassiliou, Vassilis 2 Hamerle, Alfred 2 Auckenthaler, Christoph 1 Bunzel, Helle 1 Caliendo, Marco 1 Chiarella, Carl 1 Chordia, Tarun 1 Cieslak, Anna 1 Ehlers, Philippe 1 Erdelmeier, Martin 1 Fischer, Matthias 1 Fossen, Frank M. 1 Gibson, Rajna 1 Goyal, Amit 1 Griffin, John M. 1 Gruber, Urs 1 Guidolin, Massimo 1 Hasseltoft, Henrik 1 Huang, Ming Xi 1 Huang, Xin Xun 1 Hyde, Stuart 1 Ick, Matthias M. 1 Kosowski, Robert 1 Kritikos, Alexander S. 1 Kunisch, Michael 1 Küll, Jonathan 1 Liebig, Thilo 1 Lo, Chi-Fai 1 Lu, Ching-Chih 1 Luk, Ching-Chih 1 Mahoney, James 1
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Institution
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Institut für Schweizerisches Bankwesen <Zürich> 8 Universität <Regensburg> / Institut für Banken und Finanzierung 4 Iowa State University of Science and Technology <Ames, Iowa> / Department of Economics 3 London School of Economics and Political Science 3 Universitetet <Stavanger> / School of Business Administration 3 Forschungsinstitut zur Zukunft der Arbeit <Bonn> 2 Bank für Internationalen Zahlungsausgleich <Basel> 1 Deutsche Bank Research 1 Deutsche Bundesbank <Frankfurt, Main> / Volkswirtschaftliche Forschungsgruppe 1 Federal Reserve Bank <New York, NY> 1 Finance Discipline Group, Business School 1 Finrisk 1 Manchester Business School 1 National Centre of Competence in Research - Financial Valuation and Risk Management 1 Sonderforschungsbereich Ökonomisches Risiko <Berlin> 1 Swiss National Centre of Competence in Research North South <Bern> 1 University <Regensburg> / Department of Statistics, Faculty of Business, Economics and Business Information Systems 1 Universität <Hannover> / Wirtschaftswissenschaftliche Fakultät 1 Volkswirtschaftliches Forschungszentrum <Frankfurt, Main> 1 Wirtschaftswissenschaftliches Zentrum <Basel> 1
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Published in...
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Working Paper 9 Institut für Schweizerisches Bankwesen Zürich - Working Paper Series 5 IOWA State University - Department of Economics - Working Papers 3 UiS Working Papers in Economics and Finance 3 Universitetet i Stavanger - School of Business Administration - Publications 3 Diskussionspapier 2 FINRISK Working Paper Series 2 Institut für Banken und Finanzierung Leibniz Universität Hannover Referierte Einzelaufsätze in Zeitschriften und Sammelbänden 2 London School of Economics and Political Science - Publications 2 London School of Economics and Political Science - Working paper 2 BIS Working Papers 1 Bundesbank - Forschungszentrum - Diskussionspapiere 2008 1 Discussion Paper 1 FINRISK Working Papers Series 1 FRBNY ECONOMIC POLICY REVIEW / OCTOBER 1995, 7-20 1 IZA - Forschungsinstitut zur Zukunft der Arbeit - Discussion Papers 1 IZA Discussion Paper 1 Institut für Schweizerisches Bankenwesen der Universität Zürich - Working Papers 1 International journal of bonds and derivatives 1 Johann Wolfgang Goethe-Universität Frankfurt am Main - Fachbereich Wirtschaftswissenschaften - Working Paper Series 1 Journal of Fixed Income 15 (2), 2005, pp. 63-75 1 Journal of Risk ; 8 (1), 2005, pp 41-58 1 Journal of financial economics 1 Kredit und Kapital 24 (2000), S. 235-257 1 Manchester Business School - Research - Working Papers 1 Reihe 2: "Banking and Financial Studies" 1 Reihe 2: "Banking and Financial Studies" No 02/2009 1 Research Notes 1 Research Notes / Deutsche Bank Research 1 Research Paper Series / Finance Discipline Group, Business School 1 Research notes in economics & statistics 1 Sonderforschungsbereich 649: Ökonomisches Risiko - Diskussionspapiere 1 Universität Bonn - Forschungsinstitut zur Zukunft der Arbeit GmbH (IZA) - Discussion Papers in 2008 1 Universität Zürich - Department of Banking and Financt - Publications 1 Universität Zürich - Institut für Schweizerisches Bankwesen - Dissertationen 1 WWZ - Deparment of Finance - Publications 1 WWZ/Department of Finance, Working Paper No. 1/01 1 Wirtschaftswissenschaftliche Fakultät der Leibniz Universität Hannover - Diskussionspapiere 1 Wirtschaftswissenschaftliches Zentrum <Basel> - discussion paper 1 Working Paper # 03018 1
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Source
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USB Cologne (business full texts) 37 ECONIS (ZBW) 3 RePEc 2 BASE 1 EconStor 1
Showing 1 - 10 of 44
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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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Modelling Default Correlations in a Two-Firm Model with Dynamic Leverage Ratios
Chiarella, Carl; Lo, Chi-Fai; Huang, Ming Xi - Finance Discipline Group, Business School - 2012
provide some insights of their effects on joint survival probabilities and default correlations. …
Persistent link: https://www.econbiz.de/10010643376
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Debt correlations in the wake of the financial crisis : what are appropriate default correlations for structured products?
Nickerson, Jordan; Griffin, John M. - In: Journal of financial economics 125 (2017) 3, pp. 454-474
Persistent link: https://www.econbiz.de/10011751854
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Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis
Huang, Xin Xun; Zhou, Hao; Zhu, Haibin - Bank für Internationalen Zahlungsausgleich <Basel> - 2010
This paper extends the approach of measuring and stress-testing the systemic risk of a banking sector in Huang, Zhou, and Zhu (2009) to identifying various sources of financial instability and to allocating systemic risk to individual financial institutions. The systemic risk measure, defined as...
Persistent link: https://www.econbiz.de/10005871068
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Stress testing German banks in adownturn in the automobile industry
Düllmann, Klaus; Erdelmeier, Martin - Volkswirtschaftliches Forschungszentrum <Frankfurt, Main> - 2009
In this paper, we measure the impact of a downturn in the automobile industry on thesolvency of 28 large German banks. The choice of the stressed sector is motivated by theimportant role which the automobile industry plays in the German economy, not the leastbecause of its close ties to other...
Persistent link: https://www.econbiz.de/10005866278
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The Economic Legacies of the ‘Thin White Line’: Indirect Rule and the Comparative Development of Sub-Saharan Africa
Richens, Peter - London School of Economics and Political Science - 2009
Recent empirical studies claim to have identified roots of Africa’s poverty in its colonial past, particularly in the ‘extractive’ or ‘illegitimate’ institutions that the colonial powers bequeathed. While taking a similar quantitative approach this paper accepts the view of many...
Persistent link: https://www.econbiz.de/10005870402
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Estimation and Speci fication Testing of Panel Data Models with Non-Ignorable Persistent Heterogeneity
Hajivassiliou, Vassilis - London School of Economics and Political Science - 2009
This paper shows how a simple modi…fication of estimators based on the RandomEffects principle can preserve the consistency and asymptotic efficiency of the methodin panel data despite non-ignorable persistent heterogeneity driven by correlationsbetween the heterogeneity and the regressors. The...
Persistent link: https://www.econbiz.de/10008911507
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Estimating asset correlations fromstock prices or default rates –which method is superior?
Düllmann, Klaus; Küll, Jonathan; Kunisch, Michael - Deutsche Bundesbank <Frankfurt, Main> / … - 2008
This paper sets out to help explain why estimates of asset correlations based on equityprices tend to be considerably higher than estimates based on default rates. Resolving thisempirical puzzle is highly important because, rstly, asset correlations are a key driver ofcredit risk and, secondly,...
Persistent link: https://www.econbiz.de/10005866366
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The Impact of Risk Attitudes on Entrepreneurial Survival
Caliendo, Marco; Fossen, Frank M.; Kritikos, Alexander S. - Forschungsinstitut zur Zukunft der Arbeit <Bonn> - 2008
Risk attitudes have an impact on not only the decision to become an entrepreneur but also the survival and failure rates of entrepreneurs. Whereas recent research underpins the theoretical proposition of a positive correlation between risk attitudes and the decision to become an entrepreneur,...
Persistent link: https://www.econbiz.de/10005859629
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Novel Approaches to Coherency Conditions in LDV Models
Hajivassiliou, Vassilis - London School of Economics and Political Science - 2008
The paper discusses the major identi…fication issue of coherency conditions in LDVmodels with endogeneity and flexible temporal and contemporaneous correlations inthe unobservables. Conditions for coherency as discussed in the existing literatureare reviewed and shown to be rather esoteric. Two...
Persistent link: https://www.econbiz.de/10008911509
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