Similar Search Results - EconBiz

Modeling regional interdependencies using a global error-correcting macroeconometric model

Pesaran, M. Hashem (contributor); … - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001656767

Risk measurement, risk management, and capital adequacy in financial conglomerates

Kuritzkes, Andrew; Schuermann, Til; Weiner, Scott M. - In: Brookings-Wharton papers on financial services 6 (2003), pp. 141-193

Persistent link: https://www.econbiz.de/10001788614

Macroeconomic dynamics and credit risk : a global perspective

Pesaran, M. Hashem; Schuermann, Til; Treutler, Björn-Jakob - 2003

We develop a framework for modeling conditional loss distributions through the introduction of risk factor dynamics. Asset value changes of a credit portfolio are linked to a dynamic global macroeconometric model, allowing macro effects to be isolated from idiosyncratic shocks. Default...

Persistent link: https://www.econbiz.de/10001784147

Macroeconomic dynamics and credit risk : a global perspective

Pesaran, M. Hashem; Schuermann, Til; Treutler, Björn-Jakob - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001754527

Modeling regional interdependencies using a global error-correcting macroeconometric model

Pesaran, M. Hashem; Schuermann, Til; Weiner, Scott M. - In: Journal of business & economic statistics : JBES ; a … 22 (2004) 2, pp. 129-181

Persistent link: https://www.econbiz.de/10002037011

Macroeconomic dynamics and credit risk : a global perspective

Pesaran, M. Hashem; Schuermann, Til; Treutler, Björn-Jakob - In: Journal of money, credit and banking : JMCB 38 (2006) 5, pp. 1211-1261

Persistent link: https://www.econbiz.de/10003353293

Macroeconomic dynamics and credit risk : a global perspective

Schuermann, Til; Treutler, Björn-Jakob; Weiner, Scott M.; … - 2003

We develop a framework for modeling conditional loss distributions through the introduction of risk factor dynamics. Asset value changes of a credit portfolio are linked to a dynamic global macroeconometric model, allowing macro effects to be isolated from idiosyncratic shocks. Default...

Persistent link: https://www.econbiz.de/10011508097

Macroeconomic Dynamics and Credit Risk : A Global Perspective

Pesaran, M. Hashem; Schuermann, Til; Treutler, Björn-Jakob - 2021

We develop a framework for modeling conditional loss distributions through the introduction of risk factor dynamics. Asset value changes of a credit portfolio are linked to a dynamic global macroeconometric model, allowing macro effects to be isolated from idiosyncratic shocks. Default...

Persistent link: https://www.econbiz.de/10013319848

Modeling regional interdependencies using a global error-correcting macroeconometric model

Pesaran, M. Hashem (contributor); … - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001629728

Ratings migration and the business cycle, with application to credit portfolio stress testing

Bangia, Anil; Diebold, Francis X.; Schuermann, Til - 2000

Persistent link: https://www.econbiz.de/10001476401

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