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Technical paper/Credit risk

Credit risk

Sample selection bias in acquisition credit scoring models: an evaluation of the supplemental-data approach

30 Sep 2013

dynamic explosion

Credit risk

Exposure under systemic impact

Exposure under systemic impact

20 Aug 2013

Ripples in water

Markets

Lois: credit and liquidity

Lois: credit and liquidity

28 May 2013

Credit risk

Debt structure, market value of firm and recovery rate

27 Mar 2013

Credit risk

Credit default swap spreads, fair-value spreads and interest rate dynamics

18 Dec 2012

Journal of Risk Model Validation

Original research

Quantifying model risk within a CreditRisk+ framework

28 Mar 2012

Credit risk

Credit loss and systematic loss given default

28 Mar 2012

Credit risk

New risk analysis tools with accounting changes: adjusted Z-score

28 Mar 2012

Credit risk

The impact of counterparty risk on credit default swap pricing dynamics

28 Mar 2012

Credit risk

Pricing corporate loans under the risk-neutral measure

28 Mar 2012

Credit risk

Approximating default probabilities with soft information

28 Mar 2012

Credit risk

Market pricing of credit-linked notes: The case of retail structured products in Germany

12 Jan 2012

Credit risk

Generalized beta regression models for random loss-given-default

12 Jan 2012

Original research

Credit default model for a dynamically changing economy

12 Jan 2012

Original research

Approximating independent loss distributions with an adjusted binomial distribution

12 Jan 2012

Original research

Modelling sector correlations with CreditRisk+: The common background vector model

12 Jan 2012

pen-documents

Credit risk

Close-out convention tensions

Close-out convention tensions

08 Dec 2011

Credit risk

Getting CVA up and running

Getting CVA up and running

27 Oct 2011

Original research

Simulation and estimation of loss given default

20 Sep 2011

Original research

Is credit risk really higher in Islamic banks?

20 Sep 2011

Original research

Credit default swap trees

20 Sep 2011

Original research

Transfer risk under Basel Pillar 1

16 Jun 2011

Original research

A brief note on implied historical loss given default

16 Jun 2011

Original research

Benchmarking the incremental risk charge

16 Jun 2011

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