Number of items at this level: 106.
Claussen, Arndt,
Rösch, Daniel and
Schmelzle, Martin
(2019)
Hedging parameter risk.
Journal of Banking and Finance 100, pp. 111-121.
Fulltext not available.
Hamerle, Alfred and
Plank, Kilian
(2010)
Copula Choice with Factor Credit Portfolio Models.
In:
Kneib, Thomas and
Tutz, Gerhard, (eds.)
Statistical Modelling and Regression Structures: Festschrift in Honour of Ludwig Fahrmeir.
Physica-Verlag, pp. 321-336.
ISBN 978-3-7908-2412-4.
Fulltext not available.
Donhauser, Martin,
Hamerle, Alfred and
Plank, Kilian
(2010)
Quantifying Systematic Risk in a Portfolio of Collateralised Debt Obligations.
In:
Rösch, Daniel and
Scheule, Harald, (eds.)
Model Risk: Identification, Measurement and Management.
Risk Books, London, pp. 457-488.
ISBN 978-1-906348-25-0.
Fulltext not available.
Hamerle, Alfred,
Liebig, Thilo and
Schropp, Hans-Jochen
(2009)
Systematic Risk of CDOs and CDO Arbitrage.
Discussion paper / Deutsche Bundesbank, Eurosystem: Series 2, Banking and financial studies 2009,13,
Discussion Paper, Dt. Bundesbank, Frankfurt am Main.
Fulltext not available.
Donhauser, Martin,
Hamerle, Alfred and
Plank, Kilian
(2008)
Dynamic Risk of CDOs.
Working Paper.
Fulltext not available.
Hamerle, Alfred,
Jobst, Rainer,
Knapp, Michael and
Lerner, Matthias
(2008)
Stress-Testing Credit Value-at-Risk: a Multiyear Approach.
In:
Rösch, Daniel and
Scheule, Harald, (eds.)
Stress Testing for Financial Institutions: Applications, Regulations and Techniques.
Riskbooks, London, pp. 67-91.
ISBN 978-1-906348-11-3.
Fulltext not available.
Hamerle, Alfred and
Plank, Kilian
(2008)
Stress-testing CDOs.
The Journal of Risk Model Validation 2 (4, Spe), pp. 51-64.
Fulltext not available.
Boegelein, Leif,
Hamerle, Alfred,
Knapp, Michael and
Rösch, Daniel
(2004)
14. Econometric Methods for Sector Analysis.
In:
Gundlach, Matthias and
Lehrbass, Frank, (eds.)
CreditRisk+ in the banking industry.
Springer finance (14).
Springer, Berlin, pp. 231-248.
ISBN 3-540-20738-4; 978-3-540-20738-2.
Fulltext not available.
Hamerle, Alfred,
Liebig, Thilo and
Scheule, Harald
(2004)
Forecasting Credit Portfolio Risk.
Discussion paper / Deutsche Bundesbank: Series 2, Banking and financial studies 2004,1,
Dt. Bundesbank, Frankfurt am Main.
Scheule, Harald
(2003)
Prognose von Kreditausfallrisiken.
Risikomanagement und Finanzcontrolling, 8.
Uhlenbruch, Bad Soden/Ts..
ISBN 3-933207-41-X.
Fulltext not available.
Boegelein, Leif,
Hamerle, Alfred,
Rauhmeier, Robert and
Scheule, Harald
(2002)
Parametrisierung von CreditRisk+ im Konjunkturzyklus: Dynamische Ausfallquoten und Sektorenanalyse.
Deutsches Risk: currencies, interest rates, equities, commodities, credit 2 (2), pp. 37-42.
Fulltext not available.
This list was generated on Sat Sep 23 16:14:33 2023 CEST.