Andreas Nawroth

Credit Suisse AG

Giesshübelstrasse 40

Zurich, 8002

Switzerland

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1.

A Sound Basel III Compliant Framework for Backtesting Credit Exposure Models

Risk, August 2014

Number of pages: 25 Posted: 14 May 2013 Last Revised: 30 Aug 2017

Fabrizio Anfuso, Dimitris Karyampas and Andreas Nawroth

PRA, Bank Of England, Bocconi University and Credit Suisse AG

Downloads 1,858 (15,908)

Citation 6

Abstract:

2.

Correlation Breakdown and the Influence of Correlations on VaR

Number of pages: 23 Posted: 17 Apr 2014

Andreas Nawroth, Fabrizio Anfuso and Fredrik Akesson

Credit Suisse AG, PRA, Bank Of England and Credit Suisse AG

Downloads 444 (113,736)

Citation 1

Abstract:

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