Jeroen Lamoot

Banking, Finance and Insurance Commission (CBFA)

Brussels, B-1000

Belgium

SCHOLARLY PAPERS

2

DOWNLOADS

829

SSRN CITATIONS

1

CROSSREF CITATIONS

3

Scholarly Papers (2)

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 599 (48,705)
Citation 4

Abstract:

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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 230 (145,726)
Citation 2

Abstract:

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