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Sensitivities and worst-case correlations for hitting probabilities of portfolio tranches
Huschens, Stefan; Lehmann, Christoph; Tillich, Daniel - In: The journal of risk model validation 4 (2010/11) 1, pp. 49-69
Persistent link: https://www.econbiz.de/10003971975
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Consensus information and consensus rating : a note on methodological problems of rating aggregation
Lehmann, Christoph; Tillich, Daniel - 2014
Persistent link: https://www.econbiz.de/10010519321
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Consensus information and consensus rating : a simulation study on rating aggregation
Lehmann, Christoph; Tillich, Daniel - In: The journal of risk model validation 10 (2016) 4, pp. 1-21
Persistent link: https://www.econbiz.de/10011587704
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Estimation in discontinuous Bernoulli mixture models applicable in credit rating systems with dependent data
Tillich, Daniel; Lehmann, Christoph - 2016
Persistent link: https://www.econbiz.de/10013441253
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Risikomaßzahlen für Kreditportfoliotranchen
Tillich, Daniel - In: Wirtschafts- und sozialstatistisches Archiv : ASTA ; … 5 (2011) 1, pp. 59-76
Persistent link: https://www.econbiz.de/10009152795
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Bruchpunktschätzung bei der Ratingklassenbildung
Tillich, Daniel - 2013
Persistent link: https://www.econbiz.de/10010420127
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Bounds for the expectation of bounded random variables
Tillich, Daniel - 2011
Persistent link: https://www.econbiz.de/10009315584
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Risikomaßzahlen für Kreditportfoliotranchen
Tillich, Daniel - 2010
Persistent link: https://www.econbiz.de/10013441192
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Sensitivities and worst-case correlations for hitting probabilities of portfolio tranches
Huschens, Stefan; Lehmann, Christoph; Tillich, Daniel - In: The journal of risk model validation 4 (2010/11) 1, pp. 49-69
Persistent link: https://www.econbiz.de/10009911487