| Title | Other author(s) | |
|---|---|---|
Expectations of functions of stochastic time with application to credit risk modelingBoard of Governors of the Federal Reserve System FEDS series [View] (Paper: 2013-14, 26.03.2013) |
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On the distribution of a discrete sample path of a square-root diffusionBoard of Governors of the Federal Reserve System FEDS series [View] (Paper: 2012-12, 01.05.2012) |
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Granularity Adjustment for Mark-to-Market Credit Risk ModelsBoard of Governors of the Federal Reserve System FEDS series [View] (Paper: 2010-37, 22.06.2010) |
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Constant Proportion Debt Obligations: A Post-Mortem Analysis of Rating ModelsBoard of Governors of the Federal Reserve System FEDS series [View] (Paper: 2010-05, 29.03.2010) |
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Nested Simulation in Portfolio Risk MeasurementBoard of Governors of the Federal Reserve System FEDS series [View] (Paper: 2008-21, 30.04.2008) |
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Granularity adjustment for Basel IIDeutsche Bundesbank Banking Supervision Discussion Papers [View] (Paper: 2007/01, 02.08.2007) |
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Switching Costs and Adverse Selection in the Market for Credit Cards: New EvidencePhiladelphia Fed Working Papers [View] (Paper: wp05-16, 01.07.2005) |
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A Risk-Factor Model Foundation for Ratings-Based Bank Capital RulesBoard of Governors of the Federal Reserve System FEDS series [View] (Paper: 2002-55, 05.02.2003) |
