Analytic Loss Distributions of Heterogeneous Portfolios in the Asset Value Credit Risk Model-Reference-Cited by-同舟云学术

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Analytic Loss Distributions of Heterogeneous Portfolios in the Asset Value Credit Risk Model

Published:2003 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Wehrspohn Uwe

Publisher

Elsevier BV

Reference10 articles.

1. Credit Risk +, a credit risk management framework;Credit Suisse Financial Products,1996

2. Conditional approaches for Credit Metrics portfolio distributions;Christopher C Finger;Credit Metrics Monitor,1999

3. On the pricing of corporate debt: the risk structure of interest rates;Robert C Merton;Journal of Finance,1974

4. Taken to the limit: simple and not-so-simple loan loss distributions;Philipp Sch�nbucher;Oldrich Alfons,1984

Cited by 7 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Application of stress strength analysis for investigation of investments in heterogeneous assets;AIP Conference Proceedings;2018

2. Vasiiek Distribution for Nonuniform Credit Portfolios Losses;SSRN Electronic Journal;2014

3. Assessing Validity and Accuracy of the Basel II Model in Measuring Credit Risks of Individual Borrowers and Credit Portfolios;SSRN Electronic Journal;2012

4. Procyclicality: The Macroeconomic Impact of Risk-Based Capital Requirements;Financial Markets and Portfolio Management;2005-08

5. Business Cycle Effects on Portfolio Credit Risk: Scenario Generation through Dynamic Factor Analysis;SSRN Electronic Journal;2005

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