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Stress testing in credit portfolio models

Kalkbrener, M.; Overbeck, Ludger - In: Applied quantitative finance, (pp. 153-176). 2017

Persistent link: https://www.econbiz.de/10011794959

Term structure of loss cascades in portfolio securitisation

Overbeck, Ludger; Wagner, Christoph - In: Applied quantitative finance, (pp. 207-221). 2017

Persistent link: https://www.econbiz.de/10011794963

Efficient simulations for a Bernoulli mixture model of portfolio credit risk

Başoğlu, İsmail; Hörmann, Wolfgang; Sak, Halis - In: Advances of OR in commodities and financial modeling, (pp. 113-128). 2018

Persistent link: https://www.econbiz.de/10011871371

Dynamic asset allocation with default and systemic risks

Sbuelz, Alessandro - In: Handbook of recent advances in commodity and financial …, (pp. 241-250). 2018

Persistent link: https://www.econbiz.de/10011898643

Markov Chain Models of Portfolio Credit Risk

Bielelcki, Tomasz R.; Crépey, Stéphane; Herbertsson, … - In: The Oxford handbook of credit derivatives. 2012

Persistent link: https://www.econbiz.de/10012882005

Bank credit risk modeling in emerging capital markets

Karminsky, Alexander; Morgunov, Alexei - In: Risk assessment and financial regulation in emerging …, (pp. 123-143). 2021

Models for assessing the probability of default play an important role in the risk management systems of commercial banks, as they allow assessing the creditworthiness of various counterparties and transactions. Many Russian banks are trying to switch to an advanced approach based on internal...

Persistent link: https://www.econbiz.de/10012591671