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Sensitivities and worst-case correlations for hitting probabilities of portfolio tranches
Huschens, Stefan; Lehmann, Christoph; Tillich, Daniel - In: The journal of risk model validation 4 (2010/11) 1, pp. 49-69
Persistent link: https://www.econbiz.de/10003971975
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Consensus information and consensus rating : a simulation study on rating aggregation
Lehmann, Christoph; Tillich, Daniel - In: The journal of risk model validation 10 (2016) 4, pp. 1-21
Persistent link: https://www.econbiz.de/10011587704
Cover Image
Sensitivities and worst-case correlations for hitting probabilities of portfolio tranches
Huschens, Stefan; Lehmann, Christoph; Tillich, Daniel - In: The journal of risk model validation 4 (2010/11) 1, pp. 49-69
Persistent link: https://www.econbiz.de/10009911487