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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

Generalized modeling and estimation of rating classes and default probabilities considering dependencies in cross and longitudinal section

Tillich, Daniel - 2016

Persistent link: https://www.econbiz.de/10013441254

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

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

Bounds for the expectation of bounded random variables

Tillich, Daniel - 2011

Persistent link: https://www.econbiz.de/10009315584

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

Risikomaßzahlen für Kreditportfoliotranchen

Tillich, Daniel - 2010

Persistent link: https://www.econbiz.de/10013441192

Applied consensus information and consensus rating : a simulation study of rating aggregation

Lehmann, Christoph; Tillich, Daniel - 2015

Persistent link: https://www.econbiz.de/10013441240

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

Risikomaßzahlen für Kreditportfoliotranchen

Tillich, Daniel - In: AStA Wirtschafts- und Sozialstatistisches Archiv 5 (2011) 1, pp. 59-76

There is a multitude of measures to evaluate the tranches of a structured credit portfolio. One problem is that for each concept there exists a variety of different terms. Furthermore, some of these terms are used for different measures. For this reason, this paper aims to catalog the terms used...

Persistent link: https://www.econbiz.de/10011151271