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DYNAMIC CDO TERM STRUCTURE MOD...
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Schmidt, Thorsten
12
Filipović, Damir
11
Overbeck, Ludger
7
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4
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4
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2
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3
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3
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3
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2
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2
Mathematical finance : an international journal of mathematics, statistics and financial theory
2
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Risk : managing risk in the world's financial markets
2
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Modeling Default Dependence with Threshold Models
Overbeck, Ludger
;
Schmidt, Wolfgang
- In:
The journal of derivatives : the official publication …
12
(
2005
)
4
,
pp. 10-19
Persistent link: https://www.econbiz.de/10005921780
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2
"Nie mehr Bootstrapping"
Gruber, Walter
;
Overbeck, Ludger
- In:
Finanzmarkt und Portfolio-Management
12
(
1998
)
1
,
pp. 59-73
Persistent link: https://www.econbiz.de/10006097042
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3
Semi-analytic Approaches to Collateralized Debt Obligation Modelling
Bluhm, Christian
;
Overbeck, Ludger
- In:
Economic notes : economic review of Banca Monte dei …
33
(
2004
)
2
,
pp. 233-256
Persistent link: https://www.econbiz.de/10006020656
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4
Estimation in the Cox-Ingersoll-Ross Model
Overbeck, Ludger
;
Rydén, Tobias
- In:
Econometric theory
13
(
1997
)
3
,
pp. 430-462
Persistent link: https://www.econbiz.de/10006998058
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5
Abhandlungen - Stochastic Essentials for the Risk Management of Credit Portfolios
Overbeck, Ludger
;
Stahl, Gerhard
- In:
Kredit und Kapital
36
(
2003
)
1
,
pp. 52-81
Persistent link: https://www.econbiz.de/10007464230
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6
Credit risk: Calibration of PD term structures: to be Markov or not to be - A common discussion in credit risk modelling is the question of whether term structures of default probabilities can be satisfactorily modelled by Markov chain techniques. The authors show that empirical multi-year default frequencies can be interpolated well by continuous-time Markov chains if the Markov chain is allowed ...
Bluhm, Christian
;
Overbeck, Ludger
- In:
Risk : managing risk in the world's financial markets
20
(
2007
)
11
,
pp. 98-103
Persistent link: https://www.econbiz.de/10007882933
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7
Basel II: The maturity effect on credit risk capital - The authors argue that the Basel II maturity factor should be set considerably lower.
Kalkbrener, Michael
;
Overbeck, Ludger
- In:
Risk : managing risk in the world's financial markets
15
(
2002
)
7
,
pp. 59-64
Persistent link: https://www.econbiz.de/10007036012
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8
Optimal capital and risk allocations for law- and cash-invariant convex functions
Filipović, Damir
;
Svindland, Gregor
- In:
Finance and stochastics
12
(
2008
)
3
,
pp. 423
Persistent link: https://www.econbiz.de/10008221081
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9
Existence of Lévy term structure models
Filipović, Damir
;
Tappe, Stefan
- In:
Finance and stochastics
12
(
2008
)
1
,
pp. 83-116
Persistent link: https://www.econbiz.de/10008221428
Saved in:
10
A note on the Swiss Solvency Test risk measure
Filipović, Damir
;
Vogelpoth, Nicolas
- In:
Insurance / Mathematics & economics
42
(
2008
)
3
,
pp. 897-902
Persistent link: https://www.econbiz.de/10008057664
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