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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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"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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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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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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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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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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DYNAMIC CDO TERM STRUCTURE MODELING
Filipović, Damir; Overbeck, Ludger; Schmidt, Thorsten - In: Mathematical finance : an international journal of … 21 (2011) 1, pp. 53-72
Persistent link: https://www.econbiz.de/10008770328