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Modeling exposure at default and loss given default : empirical approaches and technical implementation
Yang, Bill Huajian; Tkachenko, Mykola - In: The journal of credit risk : published quarterly by … 8 (2012) 2, pp. 81-102
Persistent link: https://www.econbiz.de/10009673642
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Estimating long-run probability of default, asset correlation and portfolio-level probability of default using Vasicek models
Yang, Bill Huajian - In: The journal of risk model validation 7 (2013/2014) 4, pp. 3-19
Persistent link: https://www.econbiz.de/10010480647
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Stress testing and modelling of rating migration under the Vasicek model framework : empirical approaches and technical implementation
Yang, Bill Huajian; Du, Zunwei - In: The journal of risk model validation 9 (2015) 2, pp. 33-47
Persistent link: https://www.econbiz.de/10011326309
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Rating-transition-probability models and Comprehensive Capital Analysis and Review stress testing : methodologies and implementation
Yang, Bill Huajian; Du, Zunwei - In: The journal of risk model validation 10 (2016) 3, pp. 1-19
Persistent link: https://www.econbiz.de/10011587660
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International Financial Reporting Standard 9 expected credit loss estimation : advanced models for estimating portfolio loss and weighting scenario losses
Yang, Bill Huajian; Wu, Biao; Cui, Kaijie; Du, Zunwei; … - In: The journal of risk model validation 14 (2020) 1, pp. 19-34
Persistent link: https://www.econbiz.de/10014335910