Jeroen Lamoot

Banking, Finance and Insurance Commission (CBFA)

Brussels, B-1000

Belgium

  • Banking, Finance and Insurance Commission (CBFA)

SCHOLARLY PAPERS

2

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1,001

TOTAL CITATIONS

7

Scholarly Papers (2)

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1.

Dynamic Credit Portfolio Management: Linking Credit Risk Systems, Securitization and Standardised Credit Indices

Number of pages: 47 Posted: 29 Sep 2008
Joao Garcia, Serge Goossens and Jeroen Lamoot
Fitch Solutions, affiliation not provided to SSRN and Banking, Finance and Insurance Commission (CBFA)
Downloads 660 (85,790)
Citation 4

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Dynamic Credit Portfolio Management, CDO's, Securitization, Basel II, Correlation Mapping

2.

Don't Fall from the Saddle: The Importance of Higher Moments of Credit Loss Distributions

Number of pages: 30 Posted: 16 Jun 2007
Jan Annaert, Joao Garcia, Jeroen Lamoot and Gleb Lanine
University of Antwerp Department of Accounting & Finance, Fitch Solutions, Banking, Finance and Insurance Commission (CBFA) and Ghent University - Department of Financial Economics
Downloads 341 (188,721)
Citation 3

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CreditRisk+, saddlepoint approximations, Lugannani-Rice formula, Barndorff-Nielsen formula, credit VaR.