scientific article; zbMATH DE number 5723836
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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
- Risk management in credit portfolios. Concentration risk and Basel II.
- Capital Allocation for a Sum of Dependent Compound Mixed Poisson Variables: A Recursive Algorithm Approach
- 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
- Checking default correlation and score correlation in a breakpoint model for rating classification
- Structured credit portfolio analysis, baskets \& CDOs
- Versicherungsmathematische Risikomessung für ein Kreditportfolio
- 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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