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Credit risk term-structures for lifetime impairment forecasting : a practical guide

Skoglund, Jimmy - In: Journal of risk management in financial institutions 10 (2016/2017) 2, pp. 177-195

Persistent link: https://www.econbiz.de/10011670671

Calculating incremental risk charges: The effect of the liquidity horizon

Skoglund, Jimmy; Chen, Wei - Volkswirtschaftliche Fakultät, … - 2010

The recent incremental risk charge addition to the Basel (1996) market risk amend- ment requires banks to estimate, separately, the default and migration risk of their trading portfolios that are exposed to credit risk. The new regulation requires the total regulatory charges for trading books...

Persistent link: https://www.econbiz.de/10009149411

The application of credit risk models to macroeconomic scenario analysis and stress testing

Skoglund, Jimmy; Chen, Wei - In: The journal of credit risk : published quarterly by … 12 (2016) 2, pp. 1-45

Persistent link: https://www.econbiz.de/10011597887

Rating momentum in the macroeconomic stress testing and scenario analysis of credit risk

Skoglund, Jimmy; Chen, Wei - In: The journal of risk model validation 11 (2017) 1, pp. 21-47

Persistent link: https://www.econbiz.de/10011671176

Forecast of forecast : an analytical approach to stressed impairment forecasting

Skoglund, Jimmy; Chen, Wei - In: Journal of risk management in financial institutions 10 (2016/2017) 3, pp. 238-256

Persistent link: https://www.econbiz.de/10011800733

Stage transfer effect on impairment forecasts

Skoglund, Jimmy; Chen, Wei - In: Journal of risk management in financial institutions 11 (2017/2018) 3, pp. 244-256

Persistent link: https://www.econbiz.de/10011942536