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Empirische Evidenz zur Prognose der Ausfallwahrscheinlichkeit und der Recovery-Rate von Bankkrediten an deutsche Unternehmen

Grunert, Jens - 2005

Persistent link: https://www.econbiz.de/10003083198

Rating migrations

Höse, Steffi; Huschens, Stefan; Wania, Robert - In: Applied quantitative finance, (pp. 105-123). 2009

Persistent link: https://www.econbiz.de/10003746005

Rating migrations

Höse, Steffi - 2008

Persistent link: https://www.econbiz.de/10013441149

Der Einsatz der Coherent Market Hypothesis zur Portfoliooptimierung

Steiner, Manfred; Wittkemper, Hans-Georg; Wolf, J. Benedict - In: Finanzmarkt und Portfolio-Management 12 (1998) 1, pp. 74-94

Persistent link: https://www.econbiz.de/10001407711

Incorporating prediction and estimation risk in point-in-time credit portfolio models

Hamerle, Alfred; Knapp, Michael; Liebig, Thilo; … - 2005

In this paper we focus on the analysis of the effect of prediction and estimation risk on the loss distribution, risk measures and economic capital. When variables for the determination of probability of default and loss distribution have to be predicted because they are not available at the...