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Specification risk and calibration effects of multifactor credit portfolio model
Dorfleitner, Gregor; Fischer, Matthias; Geidosch, Marco - In: The journal of fixed income 22 (2012) 1, pp. 7-24
Persistent link: https://www.econbiz.de/10009670750
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An analytic approach to quantify the sensitivity of CreditRisk+ with respect to its underlying assumptions
Fischer, Matthias; Kaufmann, Florian - In: The journal of risk model validation 8 (2014) 2, pp. 23-37
Persistent link: https://www.econbiz.de/10010394659
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Quantifying model risk within a CreditRisk+ framework
Fischer, Matthias; Mertel, Alexander - In: The journal of risk model validation 6 (2012) 1, pp. 47-76
Persistent link: https://www.econbiz.de/10009539312
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Modeling sector correlations with CreditRisk+ : the commen background vector model
Fischer, Matthias; Dietz, Christian - In: The journal of credit risk : published quarterly by … 7 (2011/12) 4, pp. 23-43
Persistent link: https://www.econbiz.de/10009424790
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Expected loss over lifetime calculation: methodological concepts and challenges
Pfeuffer, Marius; Fischer, Matthias - In: Essays on the measurement of credit risk, (pp. 6-27). 2017
Persistent link: https://www.econbiz.de/10011901168
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A credit portfolio framework under dependent risk parameters : probability of default, loss given default and exposure at default
Eckert, Johanna; Jakob, Kevin; Fischer, Matthias - In: The journal of credit risk : published quarterly by … 12 (2016) 1, pp. 97-119
Persistent link: https://www.econbiz.de/10011566295
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An extended likelihood framework for modelling discretely observed credit rating transitions
Pfeuffer, Marius; Möstel, Linda; Fischer, Matthias - In: Quantitative finance 19 (2019) 1, pp. 93-104
Persistent link: https://www.econbiz.de/10012194622
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Parameter estimation, bias correction and uncertainty quantification in the Vasicek credit portfolio model
Pfeuffer, Marius; Nagl, Maximilian; Fischer, Matthias; … - In: Journal of risk 22 (2019/2020) 4, pp. 1-30
Persistent link: https://www.econbiz.de/10012297503
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Fast approximation methods for credit portfolio risk calculations
Jakob, Kevin; Churt, Johannes; Fischer, Matthias; Nolte, Kim - In: Digital finance : smart data analytics, investment … 5 (2023) 3/4, pp. 689-716
Persistent link: https://www.econbiz.de/10014451940