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~isPartOf:"The journal of credit risk : published quarterly by Incisive Media"
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The journal of credit risk : published quarterly by Incisive Media
Insurance / Mathematics & economics
217
Journal of banking & finance
181
Journal of risk
123
European journal of operational research : EJOR
114
Finance research letters
114
Risks : open access journal
108
Energy economics
74
International review of financial analysis
74
Economic modelling
71
The North American journal of economics and finance : a journal of financial economics studies
67
The journal of risk model validation
67
Discussion paper / Tinbergen Institute
62
International journal of forecasting
59
Quantitative finance
57
Journal of empirical finance
55
Applied economics
53
Journal of risk and financial management : JRFM
52
Journal of risk management in financial institutions
47
The journal of operational risk
47
International journal of theoretical and applied finance
46
Journal of forecasting
42
Journal of econometrics
41
Computational economics
40
International review of economics & finance : IREF
40
The European journal of finance
38
Research in international business and finance
37
Journal of financial econometrics : official journal of the Society for Financial Econometrics
36
Journal of economic dynamics & control
34
Research paper series / Swiss Finance Institute
34
SFB 649 discussion paper
34
Applied economics letters
32
Journal of international financial markets, institutions & money
32
Working papers
32
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
31
Scandinavian actuarial journal
31
Finance and stochastics
30
Working paper
30
Econometric Institute research papers
29
Pacific-Basin finance journal
29
Journal of financial econometrics
28
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ECONIS (ZBW)
25
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1
Three ways to improve the systemic risk analysis of the Central and Eastern European region using SRISK and CoVaR
Karaś, Marta
;
Szczepaniak, Witold
- In:
The journal of credit risk : published quarterly by …
17
(
2021
)
2
,
pp. 27-62
Persistent link: https://www.econbiz.de/10012671414
Saved in:
2
Art-secured lending : a risk analysis framework
Charlin, Ventura
;
Cifuentes, Arturo
- In:
The journal of credit risk : published quarterly by …
16
(
2020
)
2
,
pp. 67-93
Persistent link: https://www.econbiz.de/10012298997
Saved in:
3
Basel risk weight functions and forward-looking expected credit losses
Eleftherios, Vlachostergios
- In:
The journal of credit risk : published quarterly by …
15
(
2019
)
4
,
pp. 29-42
Persistent link: https://www.econbiz.de/10012153043
Saved in:
4
Modeling dependent risk factors with CreditRisk+
Zhang, Xiaohang
;
Choe, SuBang
;
Zhu, Ji
;
Bewick, Jill
- In:
The journal of credit risk : published quarterly by …
14
(
2018
)
2
,
pp. 29-43
Persistent link: https://www.econbiz.de/10011917573
Saved in:
5
Calculating capital charges for sector concentration risk
Kurtz, Cornelius
;
Lütkebohmert-Holtz, Eva
;
Sester, Julian
- In:
The journal of credit risk : published quarterly by …
14
(
2018
)
4
,
pp. 35-67
Persistent link: https://www.econbiz.de/10012041800
Saved in:
6
Stochastic loss given default and exposure at default in a structural model of portfolio credit risk
Kaposty, Florian
;
Löderbusch, Matthias
;
Maciag, Jakob
- In:
The journal of credit risk : published quarterly by …
13
(
2017
)
1
,
pp. 95-123
Persistent link: https://www.econbiz.de/10011670772
Saved in:
7
A latent variable credit risk model comprising nonlinear dependencies in a sector framework with a stochastically dependent loss given default
Maciag, Jakob
;
Löderbusch, Matthias
- In:
The journal of credit risk : published quarterly by …
13
(
2017
)
4
,
pp. 37-74
Persistent link: https://www.econbiz.de/10012041612
Saved in:
8
Portfolio credit risk model with extremal dependence of defaults and random recovery
Jeon, Jong-June
;
Kim, Sunggon
;
Lee, Yonghee
- In:
The journal of credit risk : published quarterly by …
13
(
2017
)
2
,
pp. 1-31
Persistent link: https://www.econbiz.de/10011777675
Saved in:
9
Primary-firm-driven portfolio loss
Turnbull, Stuart M.
- In:
The journal of credit risk : published quarterly by …
13
(
2017
)
2
,
pp. 33-52
Persistent link: https://www.econbiz.de/10011777676
Saved in:
10
A credit portfolio framework under dependent risk parameters : probability of default, loss given default and exposure at default
Eckert, Johanna
;
Jakob, Kevin
;
Fischer, Matthias
- In:
The journal of credit risk : published quarterly by …
12
(
2016
)
1
,
pp. 97-119
Persistent link: https://www.econbiz.de/10011566295
Saved in:
11
Fitting a distribution to value-at-risk and expected shortfall, with an application to covered bonds
Tasche, Dirk
- In:
The journal of credit risk : published quarterly by …
12
(
2016
)
2
,
pp. 77-111
Persistent link: https://www.econbiz.de/10011597894
Saved in:
12
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:
13
The robustness of estimatiors in structural credit loss distributions
Batiz-Zuk, Enrique
;
Christodoulakis, George A.
;
Poon, …
- In:
The journal of credit risk : published quarterly by …
11
(
2015
)
2
,
pp. 67-97
Persistent link: https://www.econbiz.de/10011298505
Saved in:
14
An analytical value-at-risk approach for a credit portfolio with liquidity horizon and portfolio rebalancing
Huang, Haohan
;
Wang, Eugene
;
Huang, Huaxiong
;
Wang, Yong
- In:
The journal of credit risk : published quarterly by …
11
(
2015
)
4
,
pp. 1-28
Persistent link: https://www.econbiz.de/10011442455
Saved in:
15
Asset correlation of retail loans in the context of the new Basel Capital Accord
Siarka, Pawel
- In:
The journal of credit risk : published quarterly by …
10
(
2014
)
2
,
pp. 97-116
Persistent link: https://www.econbiz.de/10010385995
Saved in:
16
Asset correlation in residential mortgage-backed security reference portfolios
Geidosch, Marco
- In:
The journal of credit risk : published quarterly by …
10
(
2014
)
2
,
pp. 71-95
Persistent link: https://www.econbiz.de/10010385996
Saved in:
17
A credit value adjustment scheme for bank loan portfolios
Parnes, Dror
- In:
The journal of credit risk : published quarterly by …
10
(
2014
)
2
,
pp. 39-68
Persistent link: https://www.econbiz.de/10010385999
Saved in:
18
Estimation of risk measures for large credit portfolios
Hauptmann, Johannes
;
Olivares, Pablo
;
Zagst, Rudi
- In:
The journal of credit risk : published quarterly by …
10
(
2014
)
2
,
pp. 3-37
Persistent link: https://www.econbiz.de/10010386001
Saved in:
19
Risk analysis probability of default : a stochastic simulation model
Montesi, Giuseppe
;
Papiro, Giovanni
- In:
The journal of credit risk : published quarterly by …
10
(
2014
)
3
,
pp. 29-86
Persistent link: https://www.econbiz.de/10010426467
Saved in:
20
Impact of factor models on portfolio risk measures : a structural approach
Escobar, Marcos
;
Frielingsdorf, Tobias
;
Zagst, Rudi
- In:
The journal of credit risk : published quarterly by …
8
(
2012
)
2
,
pp. 47-79
Persistent link: https://www.econbiz.de/10009673647
Saved in:
21
The impact of counterparty risk on credit default swap pricing dynamics
Morkoetter, Stefan
;
Pleus, Johanna
;
Westerfeld, Simone
- In:
The journal of credit risk : published quarterly by …
8
(
2012
)
1
,
pp. 63-88
Persistent link: https://www.econbiz.de/10009539242
Saved in:
22
A brief note on implied historical loss given default
Porto, Rogério F.
- In:
The journal of credit risk : published quarterly by …
7
(
2011/12
)
2
,
pp. 73-81
Persistent link: https://www.econbiz.de/10009241307
Saved in:
23
Generalized beta regression models for random loss given default
Huang, Xinzheng
;
Oosterlee, Cornelis W.
- In:
The journal of credit risk : published quarterly by …
7
(
2011/12
)
1
,
pp. 45-70
Persistent link: https://www.econbiz.de/10009424789
Saved in:
24
Modeling sector correlations with CreditRisk+ : the commen background vector model
Fischer, Matthias
;
Dietz, Christian
- In:
The journal of credit risk : published quarterly by …
7
(
2011/12
)
4
,
pp. 23-43
Persistent link: https://www.econbiz.de/10009424790
Saved in:
25
A new robust importance-sampling method for measuring value-at-risk and expected shortfall alloctions for credit portfolios
Reitan, Trond
;
Aas, Kjersti
- In:
The journal of credit risk : published quarterly by …
6
(
2010/11
)
4
,
pp. 113-149
Persistent link: https://www.econbiz.de/10008807720
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