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Credit portfolio risk and asset price cycles

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  • Klaus Rheinberger

    ()

  • Martin Summer

    ()

Abstract

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File URL: http://hdl.handle.net/10.1007/s10287-007-0057-9
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Bibliographic Info

Article provided by Springer in its journal Computational Management Science.

Volume (Year): 5 (2008)
Issue (Month): 4 (October)
Pages: 337-354

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Handle: RePEc:spr:comgts:v:5:y:2008:i:4:p:337-354

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Related research

Keywords: Credit risk; Quantitative risk management; Integration of market and credit risk; G21; E44; C15; C63;

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References

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  1. Düllmann, Klaus & Trapp, Monika, 2004. "Systematic Risk in Recovery Rates: An Empirical Analysis of US Corporate Credit Exposures," Discussion Paper Series 2: Banking and Financial Studies 2004,02, Deutsche Bundesbank, Research Centre.
  2. Jordi Molins & Eduard Vives, 2004. "Long range Ising model for credit risk modeling in homogeneous portfolios," Papers cond-mat/0401378, arXiv.org.
  3. Gürtler, Marc & Heithecker, Dirk, 2005. "Systematic credit cycle risk of financial collaterals: Modelling and evidence," Working Papers FW15V2, Technische Universität Braunschweig, Institute of Finance.
  4. Charles Goodhart & Boris Hofmann & Miguel Segoviano, 2004. "Bank Regulation and Macroeconomic Fluctuations," Oxford Review of Economic Policy, Oxford University Press, Oxford University Press, vol. 20(4), pages 591-615, Winter.
  5. Ben Bernanke & Mark Gertler & Simon Gilchrist, 1998. "The Financial Accelerator in a Quantitative Business Cycle Framework," NBER Working Papers 6455, National Bureau of Economic Research, Inc.
  6. Edward I. Altman & Brooks Brady & Andrea Resti & Andrea Sironi, 2005. "The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications," The Journal of Business, University of Chicago Press, University of Chicago Press, vol. 78(6), pages 2203-2228, November.
  7. Edward Altman & Andrea Resti & Andrea Sironi, 2004. "Default Recovery Rates in Credit Risk Modelling: A Review of the Literature and Empirical Evidence," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 33(2), pages 183-208, 07.
  8. Gurdip Bakshi & Dilip Madan & Frank Zhang, 2001. "Understanding the role of recovery in default risk models: empirical comparisons and implied recovery rates," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2001-37, Board of Governors of the Federal Reserve System (U.S.).
  9. Michael B. Gordy, 1998. "A comparative anatomy of credit risk models," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 1998-47, Board of Governors of the Federal Reserve System (U.S.).
  10. Crouhy, Michel & Galai, Dan & Mark, Robert, 2000. "A comparative analysis of current credit risk models," Journal of Banking & Finance, Elsevier, Elsevier, vol. 24(1-2), pages 59-117, January.
  11. Acharya, Viral V & Bharath, Sreedhar T & Srinivasan, Anand, 2003. "Understanding the Recovery Rates on Defaulted Securities," CEPR Discussion Papers, C.E.P.R. Discussion Papers 4098, C.E.P.R. Discussion Papers.
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