scientific article; zbMATH DE number 5723836
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Publication:3569560
zbMATH Open1207.91001MaRDI QIDQ3569560FDOQ3569560
Authors: Christian Bluhm, Christoph Wagner, L. Overbeck 
Publication date: 21 June 2010
Title of this publication is not available (Why is that?)
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copulacorrelationcredit riskCDOcoherent risk measurecredit derivativescorrelated defaultsMerton's modelprobability of default
Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01)
Cited In (27)
- Credit risk
- On the credit risk of secured loans with maximum loan-to-value covenants
- Credit risk measurement. Statistical foundations, methods and modeling.
- Measuring default risk for a portfolio of equities
- An Introduction to Credit Risk Modeling
- Modeling lifetime expected credit losses on bank loans
- Capital Allocation for a Sum of Dependent Compound Mixed Poisson Variables: A Recursive Algorithm Approach
- Risk management in credit portfolios. Concentration risk and Basel II.
- On the sample path properties of mixed Poisson processes
- Credit risk measures and the estimation error in the ASRF model under the Basel II IRB approach
- Credit Risk Modeling
- Confidence intervals for asset correlations in the asymptotic single risk factor model
- Regulatory capital modeling for credit risk
- Climate risk in structural credit models
- Structured credit portfolio analysis, baskets \& CDOs
- Versicherungsmathematische Risikomessung für ein Kreditportfolio
- Checking default correlation and score correlation in a breakpoint model for rating classification
- Monounireducible nonhomogeneous continuous time semi-Markov processes applied to rating migration models
- The devil is in the tails: actuarial mathematics and the subprime mortgage crisis
- Credit risk valuation. Methods, models, and applications.
- Concentration Risk in Credit Portfolios
- Bayesian confidence intervals for probability of default and asset correlation of portfolio credit risk
- Pricing time-to-event contingent cash flows: a discrete-time survival analysis approach
- Model-free computation of risk contributions in credit portfolios
- Financial mathematics in times of crisis
- A dynamic binomial expansion technique for credit risk measurement: a Bayesian filtering approach
- Elements of financial risk management.
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