Similar Search Results - EconBiz

Confidence intervals for the value-at-risk

Huschens, Stefan - In: Risk measurement, econometrics and neural networks : …, (pp. 233-244). 1998

Persistent link: https://www.econbiz.de/10001305346

Country Default Probabilities: Assessing and Backtesting

Vogl, Konstantin; Maltritz, Dominik; Huschens, Stefan; … - 2006

We address the problem how to estimate default probabilities for sovereign countries based on market data of traded debt. A structural Merton-type model is applied to a sample of emerging market and transition countries. In this context, only few and heterogeneous default probabilities are...

Persistent link: https://www.econbiz.de/10010296810

Credit portfolio correlations and uncertainty

Höse, Steffi; Huschens, Stefan - 2012

Persistent link: https://www.econbiz.de/10009676668

Stochastic orders and non-gaussian risk factor models

Höse, Steffi; Huschens, Stefan - 2011

Persistent link: https://www.econbiz.de/10009527879

Confidence intervals for asset correlations in the asymptotic single risk factor model

Höse, Steffi; Huschens, Stefan - 2011

Persistent link: https://www.econbiz.de/10009527891

Country default probabilities : assessing and backtesting

Huschens, Stefan (contributor) - 2006

Persistent link: https://www.econbiz.de/10004875676

Confidence intervals for quantiles of a Vasicek distributed credit portfolio loss

Höse, Steffi; Huschens, Stefan - 2010

Persistent link: https://www.econbiz.de/10008845976

A general framework for IRBA backtesting

Huschens, Stefan; Stahl, Gerhard - 2004

Persistent link: https://www.econbiz.de/10004837257

From credit scores to stable default probabilities : a model based approach

Höse, Steffi; Huschens, Stefan - 2003

Persistent link: https://www.econbiz.de/10004802562

Estimation of default probabilities in a single-factor model

Höse, Steffi; Huschens, Stefan - 2003

Persistent link: https://www.econbiz.de/10004802563

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