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Copula dynamics in CDOs
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Credit risk
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Härdle, Wolfgang
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Credit risk : measurement, evaluation and management ; [on March 13th - 15th 2002, the 8th Econometric Workshop in Karlsruhe was held at the University of Karlsruhe (TH), Germany] ; with 85 figures
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Economic notes : economic review of Banca Monte dei Paschi di Siena
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Valuation of collateralized debt obligations with hierarchical Archimedean copulae
Choroś-Tomczyk, Barbara
;
Härdle, Wolfgang
;
Okhrin, Ostap
- In:
Journal of empirical finance
24
(
2013
),
pp. 42-62
Persistent link: https://www.econbiz.de/10010371991
Saved in:
2
Applied quantitative finance
Härdle, Wolfgang
(
ed.
);
Chen, Yi-Hsuan
(
ed.
); …
-
2017
-
Third edition
Persistent link: https://www.econbiz.de/10011607343
Saved in:
3
Applied quantitative finance
Härdle, Wolfgang
(
ed.
);
Hautsch, Nikolaus
(
ed.
); …
-
2009
-
2. ed.
Persistent link: https://www.econbiz.de/10003719524
Saved in:
4
Allocation of economic capital in loan portfolios
Overbeck, Ludger
- In:
Measuring risk in complex stochastic systems
,
(pp. 1-17)
.
2000
Persistent link: https://www.econbiz.de/10001579693
Saved in:
5
Credit risk portfolio modeling: an overview
Overbeck, Ludger
- In:
Risk management : challenge and opportunity ; with 125 …
,
(pp. 197-217)
.
2005
Persistent link: https://www.econbiz.de/10002447600
Saved in:
6
Integration of credit and market risk
Overbeck, Ludger
- In:
Risk management : a modern perspective
,
(pp. 341-365)
.
2006
Persistent link: https://www.econbiz.de/10003271420
Saved in:
7
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/10001758774
Saved in:
8
An introduction to credit risk modeling
Bluhm, Christian
;
Overbeck, Ludger
;
Wagner, Christoph
-
2003
Persistent link: https://www.econbiz.de/10001674383
Saved in:
9
Systematic risk in homogeneous credit portfolios
Bluhm, Christian
;
Overbeck, Ludger
- In:
Credit risk : measurement, evaluation and management ; …
,
(pp. 35-48)
.
2003
Persistent link: https://www.econbiz.de/10002001344
Saved in:
10
An introduction to CDO modelling and applications
Bluhm, Christian
;
Overbeck, Ludger
- In:
Credit risk models and management
,
(pp. 419-481)
.
2004
Persistent link: https://www.econbiz.de/10002433374
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