| Title | Other author(s) | |
|---|---|---|
A hierarchical model of tail dependent asset returns for assessing portfolio credit riskDeutsche Bundesbank Banking Supervision Discussion Papers [View] (Paper: 2011/16, 07.02.2012) |
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A hierarchical Archimedean copula for portfolio credit risk modellingDeutsche Bundesbank Banking Supervision Discussion Papers [View] (Paper: 2011/14, 07.11.2011) |
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Systemic risk contributions: a credit portfolio approachDeutsche Bundesbank Banking Supervision Discussion Papers [View] (Paper: 2011/08, 20.05.2011) |
