Reading material for all who want to know more

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Monte-Carlo simulation

• When do I take which distribution?
• Monte-Carlo Simulation with Risk Kit
• Visual Portfolio Analysis

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

• Market Study Rating-Software for Companies

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

• The Risk Weights of the IRB Approaches
• Lean IRB Approaches and Transition Design: The Basel II Proposal