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Methodology and Computing in Applied Probability, 2006
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Liu, S. X., Guo, J. Y.
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zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Liu, S. X., Guo, J. Y.
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Parameterizing credit risk models
The Journal of Credit Risk, 2004Approaches for modeling and estimating individual credit risk have been considerably improved during the last years, and latterly practitioners and researchers in the banking industry increasingly focus on quantification of portfolio credit risk. The main problem of this task is the lack of adequate time series of default data.
Alfred Hamerle, Daniel Roesch
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On Modeling Banking Risk [PDF]
SSRN Electronic Journal, 2014 The paper develops new indices of financial stability based on an explicit model of expected utility maximization by financial institutions subject to the classical technology restrictions of neoclassical production theory. The model can be estimated using standard econometric techniques, like GMM for dynamic panel data and latent factor analysis for ...
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Credit migration risk modeling
The Journal of Credit Risk, 2008We consider the modelling of credit migration risk and the pricing of migration derivatives. To construct a Point-in-Time (PIT) rating migration matrix as the underlying value for derivative pricing we show first that the Affine Markov Chain models is not sufficient to generate PIT migration matrices in both, an economic boom and contraction.
Andreas Andersson, Paolo Vanini
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Modeling Ship Transportation Risk
Risk Analysis, 2000This article presents results from the Commission of the European Communities (CEC) project ‘Safety of Shipping in Coastal Waters’ (SAFECO). The project was performed by ten European partners during the period 1995‐1998. The principal aim of the SAFECO project was to determine the influences that could increase the safety of shipping in coastal waters ...
, Fowler, , Sorgard
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2012
Preface. What's New in the Second Edition. Acknowledgments. About the Author. Introduction. PART ONE: Risk Identification. CHAPTER 1: Moving Beyond Uncertainty. PART TWO: Risk Evaluation. CHAPTER 2: From Risk to Riches. CHAPTER 3: A Guide to Model-Building Etiquette. PART THREE: Risk Quantification.
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Preface. What's New in the Second Edition. Acknowledgments. About the Author. Introduction. PART ONE: Risk Identification. CHAPTER 1: Moving Beyond Uncertainty. PART TWO: Risk Evaluation. CHAPTER 2: From Risk to Riches. CHAPTER 3: A Guide to Model-Building Etiquette. PART THREE: Risk Quantification.
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2013
The experience from the global financial crisis has raised serious concerns about the accuracy of standard risk measures as tools for the quantification of extreme downward risk. A key reason for this is that risk measures are subject to model risk due, e.g., to specification and estimation uncertainty.
Christophe M. Boucher +3 more
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The experience from the global financial crisis has raised serious concerns about the accuracy of standard risk measures as tools for the quantification of extreme downward risk. A key reason for this is that risk measures are subject to model risk due, e.g., to specification and estimation uncertainty.
Christophe M. Boucher +3 more
openaire +1 more source