Tail behaviour of credit loss distributions for general latent factor models
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- André Lucas & Pieter Klaassen & Peter Spreij & Stefan Straetmans, 2001. "Tail Behavior of Credit Loss Distributions for General Latent Factor Models," Tinbergen Institute Discussion Papers 01-023/2, Tinbergen Institute.
References listed on IDEAS
- Lucas, Andre & Klaassen, Pieter & Spreij, Peter & Straetmans, Stefan, 2001.
"An analytic approach to credit risk of large corporate bond and loan portfolios,"
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- Lucas, André & Klaassen, Pieter & Spreij, Peter, 1999. "An analytic approach to credit risk of large corporate bond and loan portfolios," Serie Research Memoranda 0018, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
- Bangia, Anil & Diebold, Francis X. & Kronimus, Andre & Schagen, Christian & Schuermann, Til, 2002.
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- Mark Carey, 1998. "Credit Risk in Private Debt Portfolios," Journal of Finance, American Finance Association, vol. 53(4), pages 1363-1387, August.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Albrecht, Peter, 2005. "Kreditrisiken - Modellierung und Management: Ein Überblick," German Risk and Insurance Review (GRIR), University of Cologne, Department of Risk Management and Insurance, vol. 1(2), pages 22-152.
- André Lucas & Bernd Schwaab & Xin Zhang, 2017.
"Modeling Financial Sector Joint Tail Risk in the Euro Area,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 32(1), pages 171-191, January.
- Schwaab, Bernd & Lucas, André & Zhang, Xin, 2015. "Modeling financial sector joint tail risk in the euro area," Working Paper Series 1837, European Central Bank.
- Lucas, André & Schwaab, Bernd & Zhang, Xin, 2015. "Modeling financial sector joint tail risk in the euro area," Working Paper Series 308, Sveriges Riksbank (Central Bank of Sweden).
- Hayette Gatfaoui, 2003. "How Does Systematic Risk Impact US Credit Spreads? A Copula Study," Risk and Insurance 0308002, EconWPA.
- Sak Halis, 2010. "Increasing the number of inner replications of multifactor portfolio credit risk simulation in the t-copula model," Monte Carlo Methods and Applications, De Gruyter, vol. 16(3-4), pages 361-377, January.
- Bologov , Yaroslav, 2013. "A copula-based approach to portfolio credit risk modeling," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 29(1), pages 45-66.
- Andre Lucas & Bernd Schwaab & Xin Zhang, 2013. "Measuring Credit Risk in a Large Banking System: Econometric Modeling and Empirics," Tinbergen Institute Discussion Papers 13-063/IV/DSF56, Tinbergen Institute, revised 13 Oct 2014.
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Keywordsportfolio credit risk; extreme value theory; tail events; tail index; factor models; economic capital; portfolio quality; second-order expansions;
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