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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

Conditional systemic risk with penalized copula

Okhrin, Ostap; Ristig, Alexander; Sheen, Jeffrey R.; … - 2015

Financial contagion and systemic risk measures are commonly derived from conditional quantiles by using imposed model assumptions such as a linear parametrization. In this paper, we provide model free measures for contagion and systemic risk which are independent of the specifcation of...

Persistent link: https://www.econbiz.de/10011309638

Cyber loss model risk translates to premium mispricing and risk sensitivity

Peters, Gareth; Malavasi, Matteo; Sofronov, Georgy; … - In: The Geneva papers on risk and insurance - issues and … 48 (2023) 2, pp. 372-433

Persistent link: https://www.econbiz.de/10014326499

Nonparametric estimation of additive models with homogeneous components

Härdle, Wolfgang; Kim, Woocheol; Tripathi, Gautam - 2000

Persistent link: https://www.econbiz.de/10001509372

On adaptive estimation in partial linear models

Golubev, G.; Härdle, Wolfgang - 2000

Persistent link: https://www.econbiz.de/10001470204

Adaptive estimation for a time inhomogeneous stochastic-volatility model

Härdle, Wolfgang; Spokojnyj, Vladimir G.; Teyssière, … - 2000

Persistent link: https://www.econbiz.de/10001470372

Discrete time option pricing with flexible volatility estimation

Härdle, Wolfgang; Hafner, Christian M. - In: Finance and stochastics 4 (2000) 2, pp. 189-207

Persistent link: https://www.econbiz.de/10001486714

Partially linear models : with 11 tables

Härdle, Wolfgang; Liang, Hua; Gao, Jiti - 2000

Persistent link: https://www.econbiz.de/10001491962

How sensitive are average derivatives?

Härdle, Wolfgang; Cybakov, Aleksandr B. - 1992

Persistent link: https://www.econbiz.de/10000834352

Testing a parametric model against a semiparametric alternative

Horowitz, Joel; Härdle, Wolfgang - 1992

Persistent link: https://www.econbiz.de/10000837903

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