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1
Pricing and hedging collateralized loan obligations with implied factor models
Nedeljkovic, Jovan
;
Rosen, Dan
;
Saunders, David M.
- In:
The journal of credit risk : published quarterly by …
6
(
2010/11
)
3
,
pp. 53-97
Persistent link: https://www.econbiz.de/10008696417
Saved in:
2
Valuing CDOs of bespoke portfolios with implied multi-factor models
Rosen, Dan
;
Saunders, David
- In:
The journal of credit risk : published quarterly by …
5
(
2009/10
)
3
,
pp. 3-36
Persistent link: https://www.econbiz.de/10009932476
Saved in:
3
Effective modeling of wrong way risk, counterparty credit risk capital, and alpha in Basel II
Cespedes, Juan Carlos Garcia
;
Herrero, Juan Antonio de Juan
- In:
The journal of risk model validation
4
(
2010/11
)
1
,
pp. 71-98
Persistent link: https://www.econbiz.de/10009911486
Saved in:
4
CVA the wrong way
Rosen, Dan
;
Saunders, David
- In:
Journal of risk management in financial institutions
5
(
2011/12
)
3
,
pp. 252-272
Persistent link: https://www.econbiz.de/10010004679
Saved in:
5
Valuing CDOs of bespoke portfolios with implied multi-factor models
Rosen, Dan
;
Saunders, David M.
- In:
The journal of credit risk : published quarterly by …
5
(
2009/10
)
3
,
pp. 3-36
Persistent link: https://www.econbiz.de/10003903232
Saved in:
6
Effective modeling of wrong way risk, counterparty credit risk capital, and alpha in Basel II
Cespedes, Juan Carlos Garcia
;
Herrero, Juan Antonio de Juan
- In:
The journal of risk model validation
4
(
2010/11
)
1
,
pp. 71-98
Persistent link: https://www.econbiz.de/10003971978
Saved in:
7
Risk factor contributions in portfolio credit risk models
Rosen, Dan
;
Saunders, David M.
- In:
Journal of banking & finance
34
(
2010
)
2
,
pp. 336-349
Persistent link: https://www.econbiz.de/10003935602
Saved in:
8
CVA the wrong way
Rosen, Dan
;
Saunders, David M.
- In:
Journal of risk management in financial institutions
5
(
2011/12
)
3
,
pp. 252-272
Persistent link: https://www.econbiz.de/10009565851
Saved in:
9
Analytical methods for hedging systematic credit risk with linear factor portfolios
Rosen, Dan
;
Saunders, David M.
- In:
Journal of economic dynamics & control
33
(
2009
)
1
,
pp. 37-52
Persistent link: https://www.econbiz.de/10003810124
Saved in:
10
Regress Under Stress : A Simple Least-Squares Method for Integrating Economic Scenarios with Risk Simulations
Rosen, Dan
-
2016
Scenarios are the language of Risk. While scenario analysis and stress testing have been an explicit part of risk management methodologies and systems for over two decades, the typical scenario and stress testing tools haven't evolved much and are still generally quite static and largely...
Persistent link: https://www.econbiz.de/10013002781
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