Matthias Löderbusch

University of Muenster - Finance Center Muenster

Schlossplatz 2

Muenster

Germany

SCHOLARLY PAPERS

2

DOWNLOADS

3

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (2)

1.

A Latent Variable Credit Risk Model Comprising Nonlinear Dependencies in a Sector Framework with a Stochastically Dependent Loss Given Default

Journal of Credit Risk, Vol. 13, No. 4, 2017
Number of pages: 38 Posted: 06 Jan 2018
Jakob Maciag and Matthias Löderbusch
zeb.rolfes.schierenbeck.associates GmbH and University of Muenster - Finance Center Muenster
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Abstract:

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Copula, Nested Copula, Sector-Type Credit Portfolio Models, Credit Risk, Stochastic Loss Given Default (LGD)

2.

Stochastic Loss Given Default and Exposure at Default in a Structural Model of Portfolio Credit Risk

Journal of Credit Risk, Vol. 13, No. 1, 2017
Number of pages: 30 Posted: 28 Feb 2017
Florian Kaposty, Matthias Löderbusch and Jakob Maciag
University of Muenster - Finance Center Muenster, University of Muenster - Finance Center Muenster and zeb.rolfes.schierenbeck.associates GmbH
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Abstract:

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portfolio credit risk model; asymptotic single risk factor (ASRF) model; downturn loss; given default (LGD); downturn exposure at default (EAD); correlation structure