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SPECIFICATION RISK AND CALIBRATION EFFECTS OF A MULTIFACTOR CREDIT PORTFOLIO MODEL
Dorfleitner, Gregor; Fischer, Matthias; Geidosch, Marco - In: The journal of fixed income 22 (2012) 1, pp. 7-25
Persistent link: https://www.econbiz.de/10009991899
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CAPITAL ALLOCATION AND PER-UNIT RISK IN INHOMOGENEOUS AND STRESSED CREDIT PORTFOLIOS
Dorfleitner, Gregor; Pfister, Tamara - In: The journal of fixed income 22 (2013) 3, pp. 64-78
Persistent link: https://www.econbiz.de/10010066954
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Capital allocation and per-unit risk in inhomogeneous and stressed credit portfolios
Dorfleitner, Gregor; Pfister, Tamara - In: The journal of fixed income 22 (2013) 3, pp. 64-78
Persistent link: https://www.econbiz.de/10009711227
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Specification risk and calibration effects of multifactor credit portfolio model
Dorfleitner, Gregor; Fischer, Matthias; Geidosch, Marco - In: The journal of fixed income 22 (2012) 1, pp. 7-24
Persistent link: https://www.econbiz.de/10009670750