Our publications
Reading material for all who want to know more
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Monte-Carlo simulation
Credit risk
- Generalized Asset Value Credit Risk Models and Risk Minimality of the Classical Approach
- Strategic Risk and Cost Adjusted Pricing
- Analytic Loss Distributions of Heterogeneous Portfolios In The Asset Value Credit Risk Model
- Estimation of Default Probabilities - Part 1: The Mean Value Model
- Estimation of Default Probabilities - Part 2: Market Factor Based Techniques
- Estimation of Default Probabilities Part 3: Stochastic Default Probabilities: Credit Risk+
- Estimation of Default Probabilities - Part 4: Default Probabilities Through the Business Cycle: Credit Portfolio View
- Estimation of Default Probabilities - Part 5: Integrated Models - the Credit Risk Evaluation Model
- Credit Risk Evaluation: Modeling - Analysis - Management
Market risk
- Live Access to Large International Data Sources With Risk Kit Data – Case Study: Impact of the Oil Price and FX and Interest Rates on Profit and Loss
- Nonlinear GARCH-Models and Volatility Spillover
Rating
Validation and Backtesting
- Optimal Simultaneous Validation Tests of Default Probabilities, Dependencies, and Credit Risk Models
- A View into the Past - Efficient Validation of Default Probabilities
Regulatory and supervisory law