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Systematic and idiosyncratic risk in syndicated loan portfolios
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Systematic and idiosyncratic risk in syndicated loan portfolios (2006)Systematic and idiosyncratic risk in synd…Crash Testing German Banks (2012)Crash Testing German BanksSystemic Risk Contributions (2011)Systemic Risk ContributionsAssessing the Systemic Risk of a Heterogeneous Portfolio of Banks during the Recent Financial Crisis (2009)Assessing the Systemic Risk o…The Analytics of Risk Model Validation (2008)The Analytics of Risk Model V…Parameter Uncertainty and the Credit Risk of Collateralized Debt Obligations (2008)Parameter Uncertainty and the…Bayesian inference for issuer heterogeneity in credit ratings migration (2008)Bayesian inference for issuer…Modeling and Calibration Errors in Measures of Portfolio Credit Risk (2007)Modeling and Calibration Erro…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)On Default Correlation (2000)Basel Committee On Banking Supervision (2010)Measuring portfolio credit risk correctly: Why parameter uncertainty matters (2010)Capital incentives and adequacy for securitizations (2011)Loan Terms and Collateral: Evidence from the Bilateral Repo Market (2022)A risk-factor model foundation for ratings-based bank capital rules (2003)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Asset correlations and credit portfolio risk: an empirical analysis (2008)Green securitisation (2021)Law and Finance (1996)A Markov Model for the Term Structure of Credit Risk Spreads (1997)Law and Finance (1998)Forecasting credit migration matrices with business cycle effects—a model comparison (2008)Modeling Ordered Choices: A Primer and Recent Developments (2008)Intensity models and transition probabilities for credit card loan delinquencies (2014)A Capital Asset Pricing Model with Time-Varying Covariances (1988)Asymmetric correlations of equity portfolios (2002)The Methodology of Stress Tests for the Kazakh Banking System (2010)Comparing Predictive Accuracy (1994)The economics of small business finance: The roles of private equity and debt markets in the financial growth cycle (1998)The Econometrics of Financial Markets (2012)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Tracking Variation in Systemic Risk at US Banks During 1974-2013 (2012)Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights (2013)Is Tail Risk Priced in Credit Default Swap Premia? (2015)Dynamic Conditional Correlation (2002)The impact of CDS trading on the bond market: Evidence from Asia (2013)Identifying and Regulating Systemically Important Financial Institutions (2014)An Empirical Analysis of the Risk-Taking Channel of Monetary Policy in Turkey (2015)
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  • 2011Systemic Risk Contributions45 cited
  • 2008Bayesian inference for issuer heterogeneity in credit ratings migration43 cited
  • 2008Parameter Uncertainty and the Credit Risk of Collateralized Debt Obligations42 cited
  • 2009Assessing the Systemic Risk of a Heterogeneous Portfolio of Banks during the Recent Financial Crisis41 cited
  • 2007Modeling and Calibration Errors in Measures of Portfolio Credit Risk27 cited
  • 2008The Analytics of Risk Model Validation26 cited
  • 2012Crash Testing German Banks18 cited

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