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Credit portfolios: What defines risk horizons and risk measurement? · Study

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ArticleCredit portfolios: What defines risk horizons and risk measurement?

Silvan Ebnöther2007

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Articlegreen2007

Credit portfolios: What defines risk horizons and risk measurement?

Silvan Ebnöther · Paolo Vanini

20 citations·0/0 files stored·Journal of Banking & Finance

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Credit Risk and Financial Regulations Financial Risk and Volatility Modeling Risk and Portfolio Optimization

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References

1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*1999Coherent Measures of Risk 1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates 2002On the coherence of expected shortfall 2003A risk-factor model foundation for ratings-based bank capital rules 2000A comparative anatomy of credit risk models 2000Stability of rating transitions 2002Ratings migration and the business cycle, with application to credit portfolio stress testing

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Year2007

Typearticle

Published2007-04-30

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations20

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.1016/j.jbankfin.2007.01.022

openalex_workW3123724696

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