Systematic Risk in Homogeneous Credit Portfolios-Reference-Cited by-同舟云学术

Systematic Risk in Homogeneous Credit Portfolios

Published:2003 Issue: Volume: Page:35-48
ISSN:1431-1933
Container-title:Credit Risk
language:
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Author:

Bluhm Christian,Overbeck Ludger

Publisher

Physica-Verlag HD

Link

http://link.springer.com/content/pdf/10.1007/978-3-642-59365-9_2.pdf

Reference13 articles.

1. Basel Committee on Banking Supervision; The Internal Ratings-Based Approach; Consultative Document, January (2001)

2. Belkin, B., Suchower, S., Forest, L.R. Jr.; The effect of systematic credit risk on loan portfolio value-at-risk and loan pricing; CreditMetrics Monitor, Third Quarter (1998)

3. Belkin, B., Suchower, S., Forest, L.R. Jr.; A one-parameter representation of credit risk and transition matrices; CreditMetrics™ Monitor, Third Quarter (1998)

4. Black, F., Scholes, M. ; The Pricing of Options and Corporate Liabilities; Journal of Political Economy 81, 637–654 (1973)

5. Bluhm, C., Overbeck, L., Wagner, C.; An Introduction to Credit Risk Modeling; Chapman & Hall/CRC Financial Mathematics; CRC Press (2002)

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