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Modelling credit grade migration in large portfolios using cumulative t-link transition models

Forster, Jonathan J.; Buzzacchi, Matteo; Sudjianto, Agus; … - In: European journal of operational research : EJOR 254 (2016) 3, pp. 977-984

Persistent link: https://www.econbiz.de/10011521936

Modeling uncertainty in financial tail risk : a forecast combination and weighted quantile approach

Storti, Giuseppe; Wang, Chao - In: Journal of forecasting 42 (2023) 7, pp. 1648-1663

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Modeling, estimation, and optimization of equity portfolios with heavy-tailed distrbutions

Biglova, Almira; Ortobelli, Sergio; Račev, Svetlozar T.; … - In: Optimizing optimization : the next generation of …, (pp. 117-141). 2010

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A new approach to assessing model risk in high dimensions

Bernard, Carole; Vanduffel, Steven - In: Journal of banking & finance 58 (2015), pp. 166-178

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Credit-risk modelling : theoretical foundations, diagnostic tools, practical examples, and numerical recipes in Python

Bolder, David Jamieson - 2018

Persistent link: https://www.econbiz.de/10011890346

A latent variable credit risk model comprising nonlinear dependencies in a sector framework with a stochastically dependent loss given default

Maciag, Jakob; Löderbusch, Matthias - In: The journal of credit risk : published quarterly by … 13 (2017) 4, pp. 37-74

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Moment component analysis : an illustration with international stock markets

Jondeau, Eric; Jurczenko, Emmanuel; Rockinger, Michael - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 4, pp. 576-598

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A comparison of methods for forecasting value at risk and expected shortfall of cryptocurrencies

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Credit-Risk Modelling : Theoretical Foundations, Diagnostic Tools, Practical Examples, and Numerical Recipes in Python

Bolder, David Jamieson - 2018

The risk of counterparty default in banking, insurance, institutional, and pension-fund portfolios is an area of ongoing and increasing importance for finance practitioners. It is, unfortunately, a topic with a high degree of technical complexity. Addressing this challenge, this book provides a...

Persistent link: https://www.econbiz.de/10012396938

Risk aversion : differential conditions for the iso-utility curves with positive slope in transformed two-parameter distributions

Corradin, Fausto; Sartore, Domenico - 2018

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