The Two Defaults Scenario for Stressing Credit Portfolio Loss Distributions-Reference-Cited by-同舟云学术

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The Two Defaults Scenario for Stressing Credit Portfolio Loss Distributions

Published:2015-12-31 Issue:1 Volume:9 Page:1
ISSN:1911-8074
Container-title:Journal of Risk and Financial Management
language:en
Short-container-title:JRFM

Author:

Tasche Dirk

Publisher

MDPI AG

Link

http://www.mdpi.com/1911-8074/9/1/1/pdf

Reference21 articles.

1. Stress Testing the UK Banking System: Guidance for Participating Banks and Building Societies,2015

2. Credit risk concentrations under stress;Bonti;J. Credit Risk,2006

3. Stress testing of credit portfolios in light-and heavy-tailed models;Kalkbrener;J. Risk Manag. Financ. Inst.,2015

4. CreditRisk+: A Credit Risk Management Framework,1997

5. Capital Allocation with CreditRisk+;Tasche,2004

Cited by 2 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. Evaluación del crédito en entidades microfinancieras peruanas;Revista Venezolana de Gerencia;2022-03-14

2. Predicting Loss Distributions for Small-Size Defaulted-Debt Portfolios Using a Convolution Technique that Allows Probability Masses to Occur at Boundary Points;Journal of Financial Services Research;2018-03-25

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