SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Calibrating the CreditMetrics™ correlation concept — Empirical evidence from Germany · Study

ArticleShelves

ArticleCalibrating the CreditMetrics™ correlation concept — Empirical evidence from Germany

Lutz Hahnenstein2004

OA

Articlegreen2004

Calibrating the CreditMetrics™ correlation concept — Empirical evidence from Germany

Lutz Hahnenstein

27 citations·0/0 files stored·Financial markets and portfolio management

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Credit Risk and Financial Regulations Stochastic processes and financial applications Financial Risk and Volatility Modeling

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 27 citations exist upstream.

References

1973Risk, Return, and Equilibrium: Empirical Tests 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*1976The arbitrage theory of capital asset pricing 1986Economic Forces and the Stock Market 1952Portfolio Selection 1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates 2002Correlation and Dependence in Risk Management: Properties and Pitfalls 1980Financial Theory and Corporate Policy.

Cited by

2010Do specialization benefits outweigh concentration risks in credit portfolios of German banks 2012Crash Testing German Banks

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2007Firm heterogeneity and credit risk diversificationarticle · 9 shared references 2010Estimating asset correlations from stock prices or default rates—Which method is superior?article · 7 shared references 2005Credit Risk Versus Capital Requirements under Basel II: Are SME Loans and Retail Credit Really Different?article · 6 shared references 2011The asymmetric behavior and procyclical impact of asset correlationsarticle · 6 shared references 2007Credit portfolios: What defines risk horizons and risk measurement?article · 6 shared references 2017Review of the literature on credit risk modeling: development of the past 10 yearsarticle · 6 shared references

Details

Year2004

Typearticle

Published2004-12-01

VenueFinancial markets and portfolio management

ISSN-L1555-4961

Languageen

Citations27

Files0 public / 0

ShelfCredit Risk and Financial Regulations

Identifiers

doi10.1007/s11408-004-0402-8

openalex_workW2016299069

Links

Imported from OpenAlex (CC0) — nothing here is generated.