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Weißbach, Rafael; Mollenhauer, Thomas - 2011

Persistent link: https://www.econbiz.de/10009356940

Kolmogorov-Smirnov-type testing for the partial homogeneity of Markov processes : with application to credit risk

Weißbach, Rafael (contributor); Dette, Holger (contributor) - 2005

In banking the default behavior of the counterpart is of interest not only for the pricing of transactions under credit risk but also for the assessment of portfolio credit risk. We develop a test against the hypothesis that default intensities are constant over time within a homogeneous group...

Persistent link: https://www.econbiz.de/10003308927

Aggregating and combining ratings

Weißbach, Rafael; Kramer, Frederik; Lawrenz, Claudia - In: The VaR implementation handbook, (pp. 361-383). 2009

Persistent link: https://www.econbiz.de/10003827089

Testing time-homogeneity of rating transitions after origination of debt

Weißbach, Rafael; Tschiersch, Patrick; Lawrenz, Claudia - In: Empirical economics : a journal of the Institute for … 36 (2009) 3, pp. 575-596

Persistent link: https://www.econbiz.de/10003848004

Modeling rating transitions with instantaneous default

Weißbach, Rafael; Strohecker, Fynn - In: Economics letters 145 (2016), pp. 38-40

Persistent link: https://www.econbiz.de/10011618149