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Credit Risk
Document Title Author Issue Date
Value-at-Risk Computations in Stochastic Volatil.. [Luetkebohmert, Eva][Matchie, Lydienne] 3-24-2014
Forecasting and Decomposition of Portfolio Credi.. [Poon, Ser-Huang][Lee, Yongwoong] 3-1-2014
Concentration Risk Model for Greek Bank's Cr.. [Lefcaditis, Constantinos][Tsamis, Anastasios][Leventides, John] 12-25-2013
Dynamic Dependence in Corporate Credit [Christoffersen, Peter][Jin, Xisong][Langlois, Hugues][Jacobs, Kris] 9-8-2013
Efficient Calculation of Expected Shortfall Cont.. [Kalkbrener, Michael][Popp, Monika][Kennedy, Anna] 8-18-2013
Modelling Tail Credit Risk Using Transition Matr.. [Allen, David E.][Kramadibrata, Akhmad R.][Powell, Robert J.][Singh, Abhay Kumar] 8-16-2013
Contagion Effect on Bond Portfolio Risk Measures.. [Gauthier, Geneviève][Boudreault, Mathieu][Thomassin, Tommy] 8-10-2013
A Factor Model for the Calculation of Portfolio .. [Li, Ping][Wang, Xiaoxu][Wang, Haibo] 8-4-2013
Measuring Marginal Risk Contributions in Credit .. [Siller, Thomas] 7-30-2013
Comparing the Value at Risk Performance of the C.. [Deshpande, Amogh] 7-30-2013
An Analytical Framework for Credit Portfolio Ris.. [Voropaev, Mikhail] 7-13-2013
The Limits of Granularity Adjustment [Fermanian, Jean-David] 7-13-2013
Portfolio Risk and Dependence Modeling [Azamighaimasi, Arsaian] 6-30-2013
The Role of Stress Testing in Credit Risk Manage.. [Stein, Roger M.] 6-8-2013
Stress Testing of Credit Migration: A Macroecono.. [Licari, Juan][Suarez-Lledo, José][Black, Barnaby] 5-11-2013
Linear Conic Optimization Models for Robust Cred.. [Zhang, Hongjie][Bai, Yanqin][Fang, Chunliang] 3-20-2013
Counterparty Credit Risk and Clearing of Derivat.. [Lehrbass, Frank] 3-11-2013
Rehypothecation Dilemma: Impact of Collateral Re.. [Uchida, Yoshihiko][Sakurai, Yuji] 3-11-2013
Cyclical Default and Recovery in Stress Testing .. [Jokivuille, Esa][Virén, Matti] 3-10-2013
Financial Instruments: Expected Credit Losses [International Accounting Standards Bd] 3-10-2013
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