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- of credit default insurance for subprime residential mortgage-backed securities 2014-11-24 Paper Subprime mortgage funding and liquidity risk 2014-09-05...10 bytes (18 words) - 14:08, 12 December 2023
- Paper Cyber risk frequency, severity and insurance viability 2022-09-14 Paper Transform approach for discounted aggregate claims in a risk model with descendant...10 bytes (17 words) - 03:35, 12 December 2023
- Publication Type Fairness principles for insurance contracts in the presence of default risk 2023-09-28 Paper Convex increasing functionals on $C_b(X)$ spaces 2023-08-25...10 bytes (16 words) - 23:29, 9 December 2023
- Migration Models for Credit Risk 2016-07-13 Paper Discrete time homogeneous Markov processes for the study of the basic risk processes 2016-01-14 Paper...10 bytes (17 words) - 18:48, 9 December 2023
- counterparty risk under a reduced-form model with regime-switching shot noise default intensities 2018-01-19 Paper The dependence of assets and default threshold...10 bytes (16 words) - 15:30, 6 October 2023
- 2021-06-02 Paper Estimating a covariance matrix for market risk management and the case of credit default swaps 2019-03-06 Paper Market-Triggered Changes in Capital...10 bytes (17 words) - 02:54, 12 December 2023
- mortgage funding and liquidity risk 2014-09-05 Paper Bank liquidity and the global financial crisis 2012-08-06 Paper Subprime risk and insurance with regret...10 bytes (18 words) - 23:21, 11 December 2023
- systemic risk drivers in financial networks 2022-06-28 Paper Systemic risk measures 2018-11-13 Paper Evaluating systemic risk using bank default probabilities...10 bytes (19 words) - 12:43, 7 October 2023
- Bayesian Network Approach 2018-04-16 Paper Spatial Risk Measures: Local Specification and Boundary Risk 2018-04-09 Paper Max-linear models on directed acyclic...10 bytes (17 words) - 23:04, 9 December 2023
- for Optimal Risk Sharing 2005-03-30 Paper Sharp bounds for \(L\)-statistics from dependent samples of random length 2004-11-29 Paper On risk minimizing...10 bytes (16 words) - 00:43, 9 December 2023
- Publication Type Total return swap valuation with counterparty risk and interest rate risk 2019-02-14 Paper The dynamic spread of the forward CDS with general...10 bytes (17 words) - 06:12, 12 December 2023
- vine copula 2022-08-08 Paper Systemic risk measures 2018-11-13 Paper Evaluating systemic risk using bank default probabilities in financial networks 2018-08-10...10 bytes (18 words) - 04:29, 12 December 2023
- Publication Type Empirical Studies of Structural Credit Risk Models and the Application in Default Prediction: Review and New Evidence 2020-12-09 Paper Empirical...10 bytes (18 words) - 14:39, 28 January 2024
- for counterparty credit risk using a modified supervisory approach 2020-11-10 Paper Quantifying market risk with value-at-risk or expected shortfall? --...10 bytes (16 words) - 12:11, 7 October 2023
- Model of Portfolio Credit Risk. Part I: Markov Copula Perspective 2015-06-19 Paper A Bottom-Up Dynamic Model of Portfolio Credit Risk. Part II: Common-Shock...10 bytes (16 words) - 06:46, 7 October 2023
- Type Modelling credit card exposure at default using vine copula quantile regression 2023-07-11 Paper LOCAL RISK MINIMIZATION OF CONTINGENT CLAIMS SIMULTANEOUSLY...10 bytes (16 words) - 08:24, 25 September 2023
- Publication Type Crony capitalism and sovereign default 2006-11-03 Paper FIRST PASSAGE TIMES FOR RISK-TRACKING PROXIES 2005-08-03 Paper Hitting time and...10 bytes (18 words) - 01:46, 13 December 2023
- tracking 2005-01-12 Paper Default probabilities in a corporate bank portfolio: a logistic model approach. 2001-01-01 Paper Analyzing risk and performance using...10 bytes (20 words) - 15:32, 9 December 2023
- LARGE PORTFOLIO ASYMPTOTICS FOR LOSS FROM DEFAULT 2015-02-20 Paper Fluctuation analysis for the loss from default 2014-08-28 Paper Exact Sampling of Jump...10 bytes (17 words) - 07:54, 7 October 2023
- Paper On Models of Default Risk 2001-03-29 Paper Filtering with discrete state observations 2001-02-27 Paper New finite-dimensional risk-sensitive filters:...10 bytes (19 words) - 16:53, 9 December 2023
