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Financial risk management : models, history, and institutions
Malz, Allan M. - 2011 - Online-Ausg.
Risk Basics -- 2.1 Arithmetic, Geometric, and Logarithmic Security Returns -- 2.2 Risk and Securities Prices: The Standard …
Persistent link: https://www.econbiz.de/10012678549
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Risk or regulatory capital? : bringing distributions back in the foreground
Guégan, Dominique; Hassani, Bertrand - 2015
Persistent link: https://www.econbiz.de/10011635443
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Considering the dependence between the credit loss severity and the probability of default in the estimate of portfolio credit risk : an experimental analysis
Di Clemente, Annalisa - In: Studi economici : rivista quadrimestrale 68 (2013) 1, pp. 5-24
Persistent link: https://www.econbiz.de/10010389432
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The loss given default of a low-default portfolio with weak contagion
Wei, Li; Yuan, Zhongyi - In: Insurance / Mathematics & economics 66 (2016), pp. 113-123
Persistent link: https://www.econbiz.de/10011442721
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Estimating portfolio credit losses in downturns
Moreira, Fernando - In: Financial markets, institutions & instruments 24 (2015) 5, pp. 391-414
Persistent link: https://www.econbiz.de/10011412170
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Regulatory capital modeling for credit risk
Rutkowski, Marek; Tarca, Silvio - In: International journal of theoretical and applied finance 18 (2015) 5, pp. 1-44
Persistent link: https://www.econbiz.de/10011403880
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Stochastic loss given default and exposure at default in a structural model of portfolio credit risk
Kaposty, Florian; Löderbusch, Matthias; Maciag, Jakob - In: The journal of credit risk : published quarterly by … 13 (2017) 1, pp. 95-123
Persistent link: https://www.econbiz.de/10011670772
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A credit portfolio framework under dependent risk parameters : probability of default, loss given default and exposure at default
Eckert, Johanna; Jakob, Kevin; Fischer, Matthias - In: The journal of credit risk : published quarterly by … 12 (2016) 1, pp. 97-119
Persistent link: https://www.econbiz.de/10011566295
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The impact of asset price bubbles on credit risk measures
Jacobs, Michael <Jr.> - In: Inventi impact: emerging economies (2016) 3, pp. 160-175
Persistent link: https://www.econbiz.de/10011567800
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An equity-credit hybrid model for asset correlations
Dias, Fabio S. - In: International journal of financial engineering and risk … 3 (2020) 3, pp. 223-239
Persistent link: https://www.econbiz.de/10012253510