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Credit Risk Factor Modeling and the Basel Ii IRB Approach

Hamerle, Alfred - 2016

Persistent link: https://www.econbiz.de/10012989345

Credit risk factor modeling and the Basel II IRB approach

Hamerle, Alfred (contributor); Liebig, Thilo (contributor); … - 2003

Persistent link: https://www.econbiz.de/10002133114

Correlations and business cycles of credit risk : evidence from bankruptcies in Germany

Rösch, Daniel - 2003

Persistent link: https://www.econbiz.de/10001827234

Event-history models in social mobility research

Blossfeld, Hans-Peter; Hamerle, Alfred; Mayer, Karl Ulrich - 1991

Persistent link: https://www.econbiz.de/10000960486

Unobserved heterogeneity in hazard rate models : a test and an ill. from a study of career mobility

Blossfeld, Hans-Peter; Hamerle, Alfred - 1987

Persistent link: https://www.econbiz.de/10000419063

Forecasting credit portfolio risk

Hamerle, Alfred (contributor); Liebig, Thilo (contributor); … - 2004

Persistent link: https://www.econbiz.de/10002133168

Auswirkungen unterschiedlicher Assetkorrelationen in Mehr-Sektoren-Kreditportfoliomodellen

Hamerle, Alfred; Knapp, Michael; Wildenauer, Nicole - 2005

Persistent link: https://www.econbiz.de/10003228299

Incorporating prediction and estimation risk in point-in-time credit portfolio models

Hamerle, Alfred; Knapp, Michael; Liebig, Thilo; … - 2005

In this paper we focus on the analysis of the effect of prediction and estimation risk on the loss distribution, risk measures and economic capital. When variables for the determination of probability of default and loss distribution have to be predicted because they are not available at the...

Persistent link: https://www.econbiz.de/10003209701

Incorporating Prediction and Estimation Risk in Point-in-Time Credit Portfolio Models

Hamerle, Alfred - 2016

Persistent link: https://www.econbiz.de/10012989315

Dynamic modeling of credit portfolio risk with time-discrete Hzard rates

Hamerle, Alfred - 2002

Persistent link: https://www.econbiz.de/10013408266