1. Asset correlation estimation for inhomogeneous exposure pools. (2019). Wunderer, Christoph.
   In: Papers.
   RePEc:arx:papers:1701.02028.

   Full description at Econpapers || Download paper

2. The currency composition of firms balance sheets, asset value correlations, and capital requirements. (2017). Byström, Hans ; Bystrom, Hans.
   In: Global Finance Journal.
   RePEc:eee:glofin:v:34:y:2017:i:c:p:89-99.

   Full description at Econpapers || Download paper

3. Support for the SME supporting factor: Multi-country empirical evidence on systematic risk factor for SME loans. (2016). Koziol, Philipp ; fraisse, henri ; DIETSCH, Michel ; Dullmann, Klaus ; Ott, Christine .
   In: Discussion Papers.
   RePEc:zbw:bubdps:452016.

   Full description at Econpapers || Download paper

4. The Currency Composition of Firms Balance Sheets and its Effect on Asset Value Correlations and Capital Requirements. (2016). Byström, Hans ; Bystrom, Hans.
   In: Working Papers.
   RePEc:hhs:lunewp:2016_001.

   Full description at Econpapers || Download paper

5. Support for the SME Supporting Factor - Multi-country empirical evidence on systematic risk factor for SME loans. (2016). Koziol, Philipp ; fraisse, henri ; DIETSCH, Michel ; Dullmann, K ; Ott, C.
   In: Débats Economiques et financiers.
   RePEc:bfr:decfin:23.

   Full description at Econpapers || Download paper

6. Evaluation of minimum capital requirements for bank loans to SMEs. (2013). Koziol, Philipp ; Dullmann, Klaus .
   In: Discussion Papers.
   RePEc:zbw:bubdps:222013.

   Full description at Econpapers || Download paper

1. ----------- and E. Heitfield, “Estimating Default Correlations from Short Panels of Credit Rating Performance Data,” Working paper, Federal Reserve Board, 2002.
   Paper not yet in RePEc: Add citation now
   

2. Available at http://elsa.berkeley.edu/~mcfadden/e242_f03/heitfield.pdf Hamerle, A., T. Liebig and D. Rösch, “Credit Risk Factor Modeling and the Basel II IRB Approach,” Deutsche Bundesbank Discussion Paper Series 2: Banking and Financial Studies, No. 02, 2003.

3. Bluhm, C. and L. Overbeck, “Systematic risk in homogeneous credit portfolios,” Credit Risk; Measurement, Evaluation and Management; Contributions to Economics, Physica-Verlag/Springer, Heidelberg, Germany, 2003.
   Paper not yet in RePEc: Add citation now
   
4. Carlos, J. and G. Cespedes, “Credit risk modelling and Basel II,” Algo Research Quarterly, 5(1), 2002.
   Paper not yet in RePEc: Add citation now
   
5. Chernih, A., S. Vanduffel and L. Henrard, “Asset correlations: A literature review and analysis of the impact of dependent loss given defaults,” 2006. Available at http://www.econ.kuleuven.be/insurance/pdfs/CVH-AssetCorrelations_v12.pdf Demey, P., J. F. Jouanin and C. Roget, “Maximum likelihood estimates of default correlations,” Risk, November, 2004, pp. 104–108.
   Paper not yet in RePEc: Add citation now
   
6. Düllmann, K. and H. Scheule, “Determinants of the Asset Correlations of German Corporations and Implications for Regulatory Capital,” Paper presented at the 10th Annual Meeting of the German Finance Association, 2003. Available at http://www.cofar.uni-mainz.de/dgf2003/paper/paper53.pdf Gordy, M., “A comparative anatomy of credit risk models,” Journal of Banking and Finance, 24, 2000, pp. 119–149.
   Paper not yet in RePEc: Add citation now
   

7. Dietsch, M. and J. Petey, “Should SME exposures be treated as retail or corporate exposures? A comparative analysis of default probabilities and asset correlations in French and German SMEs,” Journal of Banking and Finance, 28, 2004, pp. 773–788.

8. Jakubik, P., “Does Credit Risk Vary with The Economic Cycles? The Case of Finland,” Working Paper, Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague, 2006. Available at http://ies.fsv.cuni.cz/default/file/download/id/3869 Kitano, T., “Estimating Default Correlation from Historical Default Data – Maximum Likelihood Estimation of Asset Correlation using Two-Factor Models – ,” Transactions of the Operations Research Society of Japan, 50, 2007, pp. 42–67 (in Japanese, Deforuto Jisseki De-ta ni yoru Deforuto Izon Kankei no Suitei – 2 Fakuta-Model ni yoru Asetto Soukan no Saiyu Suitei).

9. Lopez, J. A., “The empirical relationship between average asset correlation, firm probability of default and asset size,” Journal of Financial Intermediation, 13, 2004, pp. 265–283.

10. Merton, R., “On the pricing of corporate debt: The risk structure of interest rates,” Journal of Finance, 29, 1974, pp. 449–470.

1. Default risk and stock returns: From a perspective of measurement errors. (2024). Hu, Yingyao ; Yang, Xiaolou.
   In: International Review of Economics & Finance.
   RePEc:eee:reveco:v:92:y:2024:i:c:p:1545-1561.

   Full description at Econpapers || Download paper

2. Asset correlation estimation for inhomogeneous exposure pools. (2019). Wunderer, Christoph.
   In: Papers.
   RePEc:arx:papers:1701.02028.

   Full description at Econpapers || Download paper

3. Default-implied Asset Correlation: Empirical Study for Moroccan Companies. (2017). Ammari, Mustapha ; Lakhnat, Ghizlane .
   In: International Journal of Economics and Financial Issues.
   RePEc:eco:journ1:2017-02-55.

   Full description at Econpapers || Download paper

4. Support for the SME supporting factor: Multi-country empirical evidence on systematic risk factor for SME loans. (2016). Koziol, Philipp ; fraisse, henri ; DIETSCH, Michel ; Dullmann, Klaus ; Ott, Christine .
   In: Discussion Papers.
   RePEc:zbw:bubdps:452016.

   Full description at Econpapers || Download paper

5. MODELLING BANKRUPTCY USING HUNGARIAN FIRM-LEVEL DATA. (2016). Endresz, Marianna ; Bauer, Peter.
   In: MNB Occasional Papers.
   RePEc:mnb:opaper:2016/122.

   Full description at Econpapers || Download paper

6. Support for the SME Supporting Factor - Multi-country empirical evidence on systematic risk factor for SME loans. (2016). Koziol, Philipp ; fraisse, henri ; DIETSCH, Michel ; Dullmann, K ; Ott, C.
   In: Débats Economiques et financiers.
   RePEc:bfr:decfin:23.

   Full description at Econpapers || Download paper

7. Loan default correlation using an Archimedean copula approach: A case for recalibration. (2015). Fenech, Jean-Pierre ; Shafik, Salwa ; Vosgha, Hamed.
   In: Economic Modelling.
   RePEc:eee:ecmode:v:47:y:2015:i:c:p:340-354.

   Full description at Econpapers || Download paper

8. Evaluation of minimum capital requirements for bank loans to SMEs. (2013). Koziol, Philipp ; Dullmann, Klaus .
   In: Discussion Papers.
   RePEc:zbw:bubdps:222013.

   Full description at Econpapers || Download paper

9. Asset correlations for credit card defaults. (2012). Bellotti, T. ; Crook, J..
   In: Applied Financial Economics.
   RePEc:taf:apfiec:v:22:y:2012:i:2:p:87-95.

   Full description at Econpapers || Download paper

10. Heuristic Strategies in Finance – An Overview. (2010). Lyra, Marianna.
    In: Working Papers.
    RePEc:com:wpaper:045.

    Full description at Econpapers || Download paper

11. Time varying and dynamic models for default risk in consumer loans. (2010). Bellotti, Tony ; Crook, Jonathan.
    In: Journal of the Royal Statistical Society Series A.
    RePEc:bla:jorssa:v:173:y:2010:i:2:p:283-305.

    Full description at Econpapers || Download paper

12. Asset correlation for credit risk analysis -- Empirical study of default data for Japanese companies --. (2009). Hashimoto, Takashi.
    In: Bank of Japan Working Paper Series.
    RePEc:boj:bojwps:09-e-3.

    Full description at Econpapers || Download paper

13. Fuzzy Capital Requirements, Risk-Shifting and the Risk Taking Channel of Monetary Policy. (2009). Ragot, Xavier ; Mojon, Benoit ; Dubecq, Simon.
    In: Working papers.
    RePEc:bfr:banfra:254.

    Full description at Econpapers || Download paper

14. An Assessment of the Internal Rating Based Approach in Basel II. (2008). Varotto, Simone.
    In: ICMA Centre Discussion Papers in Finance.
    RePEc:rdg:icmadp:icma-dp2008-04.

    Full description at Econpapers || Download paper

15. Dynamic Factor analysis of industry sector default rates and implication for Portfolio Credit Risk Modelling. (2007). cipollini, andrea ; Missaglia, Giuseppe.
    In: MPRA Paper.
    RePEc:pra:mprapa:3582.

    Full description at Econpapers || Download paper

16. Distribución de pérdidas de la cartera de créditos: el método unifactorial de Basilea II vs. estimaciones no paramétricas. (2007). Rodríguez, Analía ; Rodriguez, Analia.
    In: MPRA Paper.
    RePEc:pra:mprapa:12637.

    Full description at Econpapers || Download paper

17. Loan portfolio loss distribution: Basel II unifactorial approach vs. Non parametric estimations. (2007). Dupuy, Analia Rodriguez.
    In: MPRA Paper.
    RePEc:pra:mprapa:10697.

    Full description at Econpapers || Download paper

18. Dynamic Factor analysis of industry sector default rates and implication for Portfolio Credit Risk Modelling. (2007). cipollini, andrea ; Missaglia, Giuseppe.
    In: Center for Economic Research (RECent).
    RePEc:mod:recent:007.

    Full description at Econpapers || Download paper

19. Corporate credit risk modeling and the macroeconomy. (2007). Roszbach, Kasper ; Lindé, Jesper ; Jacobson, Tor ; Carling, Kenneth ; Linde, Jesper.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:31:y:2007:i:3:p:845-868.

    Full description at Econpapers || Download paper

20. Internal ratings systems, implied credit risk and the consistency of banks risk classification policies. (2006). Roszbach, Kasper ; Lindé, Jesper ; Jacobson, Tor ; Linde, Jesper.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:30:y:2006:i:7:p:1899-1926.

    Full description at Econpapers || Download paper

21. Multi-period defaults and maturity effects on economic capital in a ratings-based default-mode model. (2005). Gurtler, Marc ; Heithecker, Dirk.
    In: Working Papers.
    RePEc:zbw:tbsifw:fw19v2.

    Full description at Econpapers || Download paper

22. Credit Risk Versus Capital Requirements under Basel II: Are SME Loans and Retail Credit Really Different?. (2005). Roszbach, Kasper ; Lindé, Jesper ; Jacobson, Tor ; Linde, Jesper.
    In: Journal of Financial Services Research.
    RePEc:kap:jfsres:v:28:y:2005:i:1:p:43-75.

    Full description at Econpapers || Download paper

23. An empirical comparison of default risk forecasts from alternative credit rating philosophies. (2005). Rosch, Daniel.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:21:y:2005:i:1:p:37-51.

    Full description at Econpapers || Download paper

24. Auswirkungen der neuen Basler Eigenkapitalvereinbarung auf die Finanzierung von KMU. (2005). Trueck, Stefan ; Truck, Stefan ; Henneke, Jan.
    In: Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research.
    RePEc:diw:diwvjh:74-4-8.

    Full description at Econpapers || Download paper

25. Auswirkungen unterschiedlicher Assetkorrelationen in Mehr-Sektoren-Kreditportfoliomodellen. (2005). Wildenauer, Nicole ; Knapp, Michael ; Hamerle, Alfred.
    In: University of Regensburg Working Papers in Business, Economics and Management Information Systems.
    RePEc:bay:rdwiwi:582.

    Full description at Econpapers || Download paper

26. Modellkonsistente Bestimmung des LGD im IRB-Ansatz von Basel II. (2004). Gurtler, Marc ; Heithecker, Dirk.
    In: Working Papers.
    RePEc:zbw:tbsifw:fw08v3.

    Full description at Econpapers || Download paper

27. Credit Risk versus Capital Requirements under Basel II: Are SME Loans and Retail Credit Really Different?. (2004). Roszbach, Kasper ; Lindé, Jesper ; Jacobson, Tor ; Linde, Jesper.
    In: Working Paper Series.
    RePEc:hhs:rbnkwp:0162.

    Full description at Econpapers || Download paper

28. Capital Charges under Basel II: Corporate Credit Risk Modelling and the Macro Economy. (2002). Roszbach, Kasper ; Lindé, Jesper ; Jacobson, Tor ; Carling, Kenneth ; Linde, Jesper.
    In: Working Paper Series.
    RePEc:hhs:rbnkwp:0142.

    Full description at Econpapers || Download paper

Report date: 2025-09-29 12:04:24 || Missing content? Let us know