Similar Search Results

Measuring the discriminative power of rating systems

Engelmann, Bernd (contributor); Hayden, Evelyn (contributor) - 2003

Persistent link: https://www.econbiz.de/10002132884

Measuring the Discriminative Power of Rating Systems

Engelmann, Bernd - 2016

Persistent link: https://www.econbiz.de/10012989347

Bewertung von Krediten mit Tilgungsrechten

Engelmann, Bernd - In: Handbuch Treasury : ganzheitliche Risikosteuerung in …, (pp. 233-257). 2011

Persistent link: https://www.econbiz.de/10009311457

Risk management of loans with embedded options

Engelmann, Bernd - In: The Basel II risk parameters : estimation, validation, …, (pp. 391-414). 2011

Persistent link: https://www.econbiz.de/10008989891

Managing the risk of embedded options in non-traded credit using portfolio modeling

Engelmann, Bernd - In: International journal of financial engineering 10 (2023) 3, pp. 1-26

Persistent link: https://www.econbiz.de/10014444472

Modeling credit risk in the presence of central bank and government intervention

Engelmann, Bernd - In: The journal of risk model validation 16 (2022) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10014540302

The art of probability-of-default curve calibration

Tasche, Dirk - In: The journal of credit risk : published quarterly by … 9 (2013/14) 4, pp. 63-103

Persistent link: https://www.econbiz.de/10010233807

Bayesian estimation of probabilities of default for low default portfolios

Tasche, Dirk - In: Journal of risk management in financial institutions 6 (2012/13) 3, pp. 302-326

Persistent link: https://www.econbiz.de/10010197067

Capital allocation with CreditRisk+

Tasche, Dirk - In: CreditRisk+ in the banking industry, (pp. 25-43). 2004

Persistent link: https://www.econbiz.de/10002108692

The two defaults scenario for stressing credit portfolio loss distributions

Tasche, Dirk - In: Journal of risk and financial management : JRFM 9 (2016) 1, pp. 1-18

The impact of a stress scenario of default events on the loss distribution of a credit portfolio can be assessed by determining the loss distribution conditional on these events. While it is conceptually easy to estimate loss distributions conditional on default events by means of Monte Carlo...

Persistent link: https://www.econbiz.de/10011544020