Authors: Mantas Valužis

Superior Title: Lietuvos Matematikos Rinkinys, Vol 46, Iss spec. (2023)

Subject Terms: credit risk, default correlation, contingent option, Mathematics, QA1-939

File Description: electronic resource

Relation: https://www.zurnalai.vu.lt/LMR/article/view/30731; https://doaj.org/toc/0132-2818; https://doaj.org/toc/2335-898X

Access URL: https://doaj.org/article/ca7f8e11ba9844f6a4b010a90b8f687b

Authors: Valužis, Mantas

Superior Title: Lietuvos matematikos rinkinys; Vol. 46 (2006); 303–309 ; Lietuvos matematikos rinkinys; T 46 (2006); 303–309 ; 2335-898X ; 0132-2818

Subject Terms: credit risk, default correlation, contingent option

File Description: application/pdf

Relation: https://www.journals.vu.lt/LMR/article/view/30731/29659; https://www.journals.vu.lt/LMR/article/view/30731

Availability: https://doi.org/10.15388/LMR.2006.30731
https://www.journals.vu.lt/LMR/article/view/30731

Authors: Giacomelli, J.^Aff6, Passalacqua, L.^Aff7

Contributors: Corazza, Marco, editor^Aff1, Gilli, Manfred, editor^Aff2, Perna, Cira, editor^Aff3, Pizzi, Claudio, editor^Aff4, Sibillo, Marilena, editor^Aff5

Superior Title: Mathematical and Statistical Methods for Actuarial Sciences and Finance : eMAF2020. :235-241

Authors: Borzykh, Dmitriy^{Aff1, Aff2}, Penikas, Henry^{Aff3, Aff4, Aff5}

Superior Title: Risk Management. 23(4):282-300

Authors: Bandyopadhyay, Arindam, author

Superior Title: Basic Statistics for Risk Management in Banks and Financial Institutions, 2022, ill.

Availability: https://doi.org/10.1093/oso/9780192849014.003.0006

Authors: Gohs, Andreas Marcus

Subject Terms: Economics, Wirtschaft, Default Correlation, Software R, Multivariate GARCH, Mean Excess Loss, Skew Student T, Conditional volatility, Markov Switching MS-GARCH

File Description: application/pdf

Relation: https://archiv.ub.uni-marburg.de/es/2024/0753/cover.png

Availability: https://doi.org/10.17192/es2024.0753
https://archiv.ub.uni-marburg.de/es/2024/0753

Authors: Lee, Cheng-Few^Aff4, Chen, Hong-Yi^Aff5, Lee, John^Aff6

Contributors: Lee, Cheng-Few^Aff1, Chen, Hong-Yi^Aff2, Lee, John^Aff3

Superior Title: Financial Econometrics, Mathematics and Statistics : Theory, Method and Application. :419-438

Authors: Gohs, Andreas Marcus

Subject Terms: ddc:330, G17, F31, G01, G11, Conditional volatility, Skew Student T, Markov Switching MS-GARCH, Multivariate GARCH, Mean Excess Loss, Default Correlation, Software R

Relation: Series: MAGKS Joint Discussion Paper Series in Economics; No. 46-2022; gbv-ppn:1830528394; http://hdl.handle.net/10419/273884

Availability: http://hdl.handle.net/10419/273884

Authors: Bolder, David Jamieson^Aff2

Contributors: Bolder, David Jamieson^Aff1

Superior Title: Credit-Risk Modelling : Theoretical Foundations, Diagnostic Tools, Practical Examples, and Numerical Recipes in Python. :575-635

Authors: Jacopo Giacomelli, Luca Passalacqua

Contributors: Giacomelli, Jacopo, Passalacqua, Luca

Subject Terms: CreditRisk+, calibration, time serie, default correlation, dependence structure

Relation: info:eu-repo/semantics/altIdentifier/wos/WOS:000676521000001; volume:9; issue:14; firstpage:1; lastpage:30; numberofpages:30; journal:MATHEMATICS; http://hdl.handle.net/11573/1562518; info:eu-repo/semantics/altIdentifier/scopus/2-s2.0-85111337333

Availability: https://doi.org/10.3390/math9141679
http://hdl.handle.net/11573/1562518

Authors: Di Clemente, Annalisa

Contributors: Di Clemente, Annalisa

Subject Terms: portfolio credit risk, asset correlation, coherent capital allocation, copula function, default correlation

Relation: info:eu-repo/semantics/altIdentifier/isbn/978-93-92117-19-0; ispartofbook:Business and Economy. Recent Updates. 2nd Edition; firstpage:1; lastpage:24; numberofpages:24; https://hdl.handle.net/11573/1684033

Availability: https://doi.org/10.37247/BERUE2D.2.23.3
https://hdl.handle.net/11573/1684033

Authors: Amir Azamtarrahian, Saeed Asadi

Superior Title: فصلنامه پژوهش‌های اقتصادی ایران, Vol 23, Iss 76, Pp 159-184 (2018)

Subject Terms: credit risk, default correlation, copula, portfolio loss distribution, basel, Business, HF5001-6182, Capital. Capital investments, HD39-40.7

File Description: electronic resource

Relation: https://ijer.atu.ac.ir/article_9516_9e7ad1b8e9dcbb1926fdabe407e16873.pdf; https://doaj.org/toc/1726-0728; https://doaj.org/toc/2476-6445

Access URL: https://doaj.org/article/31311569b1e049ca9c3ac80045828876

Authors: Elouerkhaoui, Youssef^Aff2

Contributors: Elouerkhaoui, Youssef^Aff1

Superior Title: Credit Correlation : Theory and Practice. :97-138

Authors: Vozzella, Pietro^Aff3, Gabbi, Giampaolo^Aff4

Contributors: Molyneux, Philip, Series editor^Aff1, Rossi, Stefania, editor^Aff2

Superior Title: Access to Bank Credit and SME Financing. :203-224

Authors: Gerlach, Jeffrey R.^Aff2, Oldroyd, James B.^Aff3

Contributors: Tian, Weidong, editor^Aff1

Superior Title: Commercial Banking Risk Management : Regulation in the Wake of the Financial Crisis. :153-167

Authors: Pesaran, M. Hashem, Schuermann, Til, Treutler, Björn-Jakob, Weiner, Scott M.

Superior Title: Journal of Money, Credit and Banking, 2006 Aug 01. 38(5), 1211-1261.

Access URL: https://www.jstor.org/stable/3839005

Authors: Chang, Jow-Ran^Aff3, Chen, An-Chi^Aff4

Contributors: Lee, Cheng-Few, editor^Aff1, Lee, John C., editor^Aff2

Superior Title: Handbook of Financial Econometrics and Statistics. :2495-2517

Authors: Wu, Po-Cheng^Aff3, Kao, Lie-Jane^Aff3, Lee, Cheng-Few^{Aff4, Aff5}

Contributors: Lee, Cheng-Few, editor^Aff1, Lee, John C., editor^Aff2

Superior Title: Handbook of Financial Econometrics and Statistics. :639-655

Authors: Centanni, Silvia, Oliva, Immacolata, Tardelli, Paola

Superior Title: Methodology and Computing in Applied Probability. September 2017 19(3):891-912

Authors: Tillich, Daniel^{aff1_w2aab2b8b8b1b7b1aab1b3b1Aa}

Superior Title: Economic Quality Control. 31(1):1-10

Availability: https://www.degruyter.com/document/doi/10.1515/eqc-2015-0006/html