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Loan portfolio loss models with more flexible asymmetry and tails for Korean banks and a comparison of their regional concentrations
Lee, Yong Woong; Poon, Ser-Huang - In: Emerging markets finance & trade : a journal of the … 51 (2015) 3, pp. 118-139
Persistent link: https://www.econbiz.de/10011404418
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Optimal look-back period for adequate and less procyclical credit capital forecasts
Lee, Yong Woong; Cho, Yongbok; Yang, Kisung - In: Applied economics 53 (2021) 46, pp. 5337-5353
Persistent link: https://www.econbiz.de/10012626877
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Asymmetric asset correlation in credit portfolios
Cho, Yongbok; Lee, Yong Woong - In: Finance research letters 49 (2022), pp. 1-6
Persistent link: https://www.econbiz.de/10013478636
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Fast approximation of loan portfolio loss
Bai, Jenny; Seppälä, Heikki; Poon, Ser-Huang - In: Global credit review 4 (2014), pp. 67-85
Persistent link: https://www.econbiz.de/10010422179
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The robustness of estimatiors in structural credit loss distributions
Batiz-Zuk, Enrique; Christodoulakis, George A.; Poon, … - In: The journal of credit risk : published quarterly by … 11 (2015) 2, pp. 67-97
Persistent link: https://www.econbiz.de/10011298505
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Credit contagion in the presence of non-normal shocks
Batiz-Zuk, Enrique; Christodoulakis, George A.; Poon, … - In: International review of financial analysis 37 (2015), pp. 129-139
Persistent link: https://www.econbiz.de/10011317232