Technical paper/Credit risk

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

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

Original research

Evaluating the performance of Static versus Dynamic models of credit default: evidence from long-term Small Business Administration-guarenteed loans

16 Jun 2011

Credit risk

Real-time counterparty credit risk management in Monte Carlo

Real-time counterparty credit risk management in Monte Carlo

25 May 2011

Credit risk

An analytical framework for credit portfolio risk measures

An analytical framework for credit portfolio risk measures

26 Apr 2011

Original research

A generalized credit value adjustment

22 Feb 2011

Original research

Treatment of double default effects within the granularity adjustment for Basel II

22 Feb 2011

Original research

Lead-lag relationships and rating convergence among credit rating agencies

22 Feb 2011

Original research

A new robust importance-sampling method for measuring value-at-risk and expected shortfall allocations for credit portfolios

07 Dec 2010

Original research

Analytical pricing of basket default swaps in a dynamic Hull-White framework

07 Dec 2010

Original research

Credit models and the crisis: default cluster dynamics and the generalized Poisson loss model

07 Dec 2010

Original research

The valuation of correlation-dependent credit derivatives using a structural model

17 Sep 2010

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