Similar Search Results

Stable modeling of market and credit value at risk

Račev, Svetlozar T.; Schwartz, Eduardo S.; Khindanova, … - In: Handbook of heavy tailed distributions in finance, (pp. 249-328). 2003

Persistent link: https://www.econbiz.de/10001882089

Stable non-Gaussian models for credit risk management

Martin, Bernhard; Račev, Svetlozar T.; Schwartz, Eduardo S. - In: Handbook of heavy tailed distributions in finance, (pp. 405-441). 2003

Persistent link: https://www.econbiz.de/10001882167

Stable non-Gaussian credit risk model; the cognity approach

Racheva-Jotova, Borjana; Stoyanov, Stoyan; Rachev, … - In: Credit risk : measurement, evaluation and management ; …, (pp. 175-193). 2003

Persistent link: https://www.econbiz.de/10002001947

Credit Risk : Measurement, Evaluation and Management

Bol, Georg - 2003 - 1

New developments in measuring, evaluating and managing credit risk are discussed in this volume. Addressing both practitioners in the banking sector and resesarch institutions, the book provides a manifold view on one of the most-discussed topics in finance. Among the subjects treated are...

Persistent link: https://www.econbiz.de/10013519200

Pricing of credit default index swap tranches with one-factor heavy-tailed copula models

Wang, Dezhong; Račev, Svetlozar T.; Fabozzi, Frank J. - In: Journal of empirical finance 16 (2009) 2, pp. 201-215

Persistent link: https://www.econbiz.de/10003839259

Rating based modeling of credit risk : theory and application of migration matrices

Trück, Stefan; Račev, Svetlozar T. - 2009

R ating Based Modeling of Credit Risk Theory and Application of Migration Matrices Contents Preface xi 1 Introduction: Credit Risk Modeling, Ratings, a nd Migration Matrices ...

Persistent link: https://www.econbiz.de/10003767855

Price calibration and hedging of correlation dependent credit derivatives using a structural model with α-stable distributions

Papenbrock, Jochen; Račev, Svetlozar T.; … - In: Applied financial economics 19 (2009) 16/18, pp. 1401-1416

The emergence of Credit Default Swap (CDS) indices and corresponding credit risk transfer markets with high liquidity and narrow bid-ask spreads has created standard benchmarks for market credit risk and correlation against which portfolio credit risk models can be calibrated. Integrated risk...

Persistent link: https://www.econbiz.de/10003886215

Pricing tranches of a CDO and a CDS index : recent advances and furture research

Wang, Dezhong; Račev, Svetlozar T.; Fabozzi, Frank J. - In: Risk assessment : decisions in banking and finance, (pp. 263-286). 2008

Persistent link: https://www.econbiz.de/10003781791

Credit portfolio risk and probability of default confidence sets through the business cycle

Trück, Stefan; Račev, Svetlozar T. - In: The journal of credit risk : published quarterly by … 1 (2005) 4, pp. 61-88

Persistent link: https://www.econbiz.de/10003274048

Basel II : letzte Änderungen der Risikogewichstskurve im IRB-Ansatz

Hausen, Florian; Račev, Svetlozar T.; Trück, Stefan - In: Zeitschrift für das gesamte Kreditwesen : Pflichtblatt … 57 (2004) 22, pp. 1252-1257

Persistent link: https://www.econbiz.de/10002431981