Alfred Hamerle - Central Bank Research Hub

Papers by year: All | 2009 | 2005 | 2004 | 2003

Title Other author(s)

Systematic risk of CDOs and CDO arbitrage

Deutsche Bundesbank Banking Supervision Discussion Papers [View] (Paper: 2009/13, 30.10.2009)

Incorporating prediction and estimation risk in point-in-time credit portfolio models

Deutsche Bundesbank Banking Supervision Discussion Papers [View] (Paper: 2005/13, 25.11.2005)

JEL: C1, G21

Forecasting Credit Portfolio Risk

Deutsche Bundesbank Banking Supervision Discussion Papers [View] (Paper: 2004/01, 01.03.2004)

JEL: C23, C41, G21

Credit Risk Factor Modeling and the Basel II IRB Approach

Deutsche Bundesbank Banking Supervision Discussion Papers [View] (Paper: 2003/02, 01.12.2003)

JEL: C1, G21

Papers by year: All | 2009 | 2005 | 2004 | 2003