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Search: subject:"Default correlation"
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default correlation
46
Kreditrisiko
37
Credit risk
36
Korrelation
31
Correlation
30
Theorie
26
Default correlation
25
Theory
25
Insolvency
22
Insolvenz
22
Risk management
14
credit risk
14
Default Correlation
12
Risikomanagement
11
Derivat
10
Derivative
10
Basel Accord
9
Basler Akkord
9
Credit derivative
9
Kreditderivat
9
Portfolio-Management
9
Schätzung
8
Portfolio selection
7
CDO
6
Counterparty risk
6
Estimation
6
Option pricing theory
6
Optionspreistheorie
6
asset correlation
6
probability of default
6
Bank competition
5
Bank failure
5
Collateral
5
Financial crisis
5
Finanzkrise
5
Kreditsicherung
5
Multivariate Verteilung
5
Multivariate distribution
5
Risikoprämie
5
Risk
5
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Free
39
Undetermined
33
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Article
45
Book / Working Paper
41
Other
1
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Article in journal
30
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10
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5
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35
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2
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Hamerle, Alfred
5
Liebig, Thilo
4
Pesaran, M. Hashem
4
Qi, Howard
4
Schuermann, Til
4
Treutler, Björn-Jakob
4
Weiner, Scott M.
4
Xie, Yan Alice
4
BRIGO, DAMIANO
3
Balakrishna, B S
3
Bandyopadhyay, Arindam
3
Brigo, Damiano
3
Carling, Kenneth
3
Damjanovic, Vladislav
3
Ganguly, Sonali
3
Jabłecki, Juliusz
3
Knapp, Michael
3
Li, Weiping
3
Liu, Sheen
3
Pallavicini, Andrea
3
Roszbach, Kasper
3
Rönnegård, Lars
3
Wildenauer, Nicole
3
Bams, Dennis
2
Capponi, Agostino
2
Ehlers, Philippe
2
Gatarek, Dariusz
2
Gohs, Andreas Marcus
2
Lundtofte, Frederik
2
PALLAVICINI, ANDREA
2
PAPATHEODOROU, VASILEIOS
2
Pagès, H.
2
Papatheodorou, Vasileios
2
Penikas, Henry
2
Pisa, Magdalena
2
Pérez Montes, Carlos
2
Repullo, Rafael
2
Scheule, Harald
2
Shi, Jian
2
Wang, Eugene
2
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
7
Banque de France
2
Deutsche Bundesbank
2
Banco de España
1
Business School, University of Exeter
1
C.E.P.R. Discussion Papers
1
CESifo
1
Centre de Recherche en Économie Appliquée (CREA), Faculté de droit, d'économie et de finance
1
Centre for Dynamic Macroeconomic Analysis, University of St. Andrews
1
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1
EconWPA
1
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1
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1
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1
Narodowy Bank Polski
1
Society for Computational Economics - SCE
1
Sveriges Riksbank
1
Swiss Finance Institute
1
Wirtschaftswissenschaftliche Fakultät, Universität Regensburg
1
Økonomisk Institut, Københavns Universitet
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MPRA Paper
7
International journal of theoretical and applied finance
5
International Journal of Theoretical and Applied Finance (IJTAF)
4
Applied economics
2
Discussion Paper Series 2
2
Discussion Paper Series 2: Banking and Financial Studies
2
Economic modelling
2
Finance research letters
2
The International Journal of Business and Finance Research
2
The journal of credit risk : published quarterly by Incisive Media
2
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Annals of economics and statistics
1
Asia-Pacific Financial Markets
1
Banco de España Working Papers
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CDMA Working Paper Series
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CDMA working paper series
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CEPR Discussion Papers
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CESifo Working Paper
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CESifo Working Paper Series
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CESifo working papers
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Cambridge Working Papers in Economics
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Center for Financial Institutions Working Papers
1
Computing in Economics and Finance 2006
1
Discussion Papers / Business School, University of Exeter
1
European financial management : the journal of the European Financial Management Association
1
FAME Research Paper Series
1
FRU Working Papers
1
Finance
1
Finance and Stochastics
1
International Journal of Information Technology & Decision Making (IJITDM)
1
International journal of banking, accounting and finance : IJBAAF
1
Joint discussion paper series in economics : publ. by the Universities of Aachen, Gießen, Göttingen, Kassel, Marburg, Siegen
1
Journal of Financial Intermediation
1
Journal of Risk Finance
1
Journal of Risk and Financial Management
1
Journal of empirical finance
1
Journal of financial economics
1
Journal of financial engineering
1
Journal of financial services research : JFSR
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Source
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RePEc
42
ECONIS (ZBW)
35
EconStor
6
BASE
3
Other ZBW resources
1
Showing
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87
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1
The choice of GARCH models to forecast value-at-risk for currencies (euro exchange rates), crypto assets (Bitcoin and Ethereum), gold, silver and crude oil: Automated processes, st...
Gohs, Andreas Marcus
-
2022
forecasts is investigated. Coefficients of the ordinary (Pearson) and the
default
correlation
are calculated for moving time … windows. Since the calculated
default
correlation
depends on the VaR forecasts, analyses are performed for different quantiles …
Persistent link: https://www.econbiz.de/10014322586
Saved in:
2
The choice of GARCH models to forecast value-at-risk for currencies (euro exchange rates), crypto assets (Bitcoin and Ethereum), gold, silver and crude oil : automated processes, s...
Gohs, Andreas Marcus
-
2022
forecasts is investigated. Coefficients of the ordinary (Pearson) and the
default
correlation
are calculated for moving time … windows. Since the calculated
default
correlation
depends on the VaR forecasts, analyses are performed for different quantiles …
Persistent link: https://www.econbiz.de/10013474092
Saved in:
3
Multi-factor
default
correlation
model estimation : enhancement with bootstrapping
Yang, Zhihui
;
Ray Majumder, Saikat
;
Shen, Weiwei
;
Karm, …
- In:
Journal of risk : JOR
26
(
2024
)
3
,
pp. 33-48
Persistent link: https://www.econbiz.de/10014487316
Saved in:
4
A generalised latent Poisson factor modelling approach for default correlations in credit portfolios
Saidane, Mohamed
- In:
Journal of risk management in financial institutions
17
(
2023
)
1
,
pp. 89-105
Persistent link: https://www.econbiz.de/10014489156
Saved in:
5
An analytic approach To network-based modelling for contagious defaults
Jun Park, Jong
;
Jang, Hyun Jin
- In:
Finance research letters
44
(
2022
),
pp. 1-10
Persistent link: https://www.econbiz.de/10014494696
Saved in:
6
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:
7
Mortgages : estimating
default
correlation
and forecasting default risk
Neumann, Tobias
-
2018
Persistent link: https://www.econbiz.de/10011914364
Saved in:
8
Industry specific defaults
Kwon, Tae Yeon
;
Lee, Yoonjung
- In:
Journal of empirical finance
45
(
2018
),
pp. 45-58
Persistent link: https://www.econbiz.de/10012102441
Saved in:
9
Stress-testing and credit risk revisited : a shipping sector application
Merika, Anna
;
Negkakis, Ioannis
;
Penikas, Henry
- In:
International journal of banking, accounting and …
12
(
2021
)
4
,
pp. 347-367
Persistent link: https://www.econbiz.de/10012694425
Saved in:
10
IRB PD model accuracy validation in the presence of
default
correlation
: a twin confidence interval approach
Borzykh, Dmitriy
;
Penikas, Henry
- In:
Risk management : an international journal
23
(
2021
)
4
,
pp. 282-300
Persistent link: https://www.econbiz.de/10012792821
Saved in:
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