scientific article; zbMATH DE number 5723836

MaRDI QIDQ3569560zbMATH OpenFDO

Authors Christian Bluhm, Christoph Wagner, L. Overbeck

Publication date 21 June 2010

zbMATH Keywords

CDOcoherent risk measurecopulacorrelated defaultscorrelationcredit derivativescredit riskMerton's modelprobability of default

Mathematics Subject Classification ID

Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

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Cited in

(28)

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• Regulatory capital modeling for credit risk
• Elements of financial risk management.
• Measuring default risk for a portfolio of equities
• Concentration Risk in Credit Portfolios
• The devil is in the tails: actuarial mathematics and the subprime mortgage crisis
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• An Introduction to Credit Risk Modeling
• A dynamic binomial expansion technique for credit risk measurement: a Bayesian filtering approach
• Modeling lifetime expected credit losses on bank loans
• Confidence intervals for asset correlations in the asymptotic single risk factor model
• Financial mathematics in times of crisis
• Versicherungsmathematische Risikomessung für ein Kreditportfolio
• Credit risk measurement. Statistical foundations, methods and modeling.
• Structured credit portfolio analysis, baskets \& CDOs
• Capital Allocation for a Sum of Dependent Compound Mixed Poisson Variables: A Recursive Algorithm Approach
• Credit risk valuation. Methods, models, and applications.
• Climate risk in structural credit models
• Robust Bernoulli mixture models for credit portfolio risk
• Risk management in credit portfolios. Concentration risk and Basel II.

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