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Dynamic multi-factor credit risk model with fat-tailed factors
Gapko, Petr; Šmíd, Martin - In: Finance a úvěr 62 (2012) 2, pp. 125-140
Persistent link: https://www.econbiz.de/10009740502
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Multi-period structural model of a mortgage portfolio with cointegrated factors
Gapko, Petr; Šmíd, Martin - In: Finance a úvěr 66 (2016) 6, pp. 565-574
Persistent link: https://www.econbiz.de/10011582648
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Modeling credit losses for multiple loan portfolios
Gapko, Petr; S̆mid, Martin - In: Finance a úvěr 69 (2019) 6, pp. 558-579
Persistent link: https://www.econbiz.de/10012303180