Narrow search
Showing 1 - 3 of 3
Cover Image
The impact of collateralized debt obligation arbitrage on tranching and financial leverage of structured finance securities
Hamerle, Alfred; Liebig, Thilo; Schropp, Hans-Jochen - In: Journal of risk 16 (2013/2014) 1, pp. 3-33
Persistent link: https://www.econbiz.de/10013262916
Cover Image
The role of model risk in extreme value theory for capital adequacy
Kellner, Ralf; Rösch, Daniel; Scheule, Harald - In: Journal of risk 18 (2016) 6, pp. 39-70
Persistent link: https://www.econbiz.de/10011620651
Cover Image
Parameter estimation, bias correction and uncertainty quantification in the Vasicek credit portfolio model
Pfeuffer, Marius; Nagl, Maximilian; Fischer, Matthias; … - In: Journal of risk 22 (2019/2020) 4, pp. 1-30
Persistent link: https://www.econbiz.de/10012297503