Zobrazeno 1 - 10
of 30
pro vyhledávání: '"Rainer Jobst"'
Autor:
Daniel Rösch, Rainer Jobst
Publikováno v:
The Journal of Fixed Income. 31:41-65
Using a Bayesian GLMM, we analyze Euro zone sovereign real-world default probabilities and correlations, and compare regulatory and economic capital requirements. The approach combines prior information and sparse sovereign historical default data. O
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1f49d2bd726e8ee43c6188cd4991b0d3
https://doi.org/10.3905/jfi.2021.1.124
https://doi.org/10.3905/jfi.2021.1.124
Publikováno v:
International Journal of Forecasting. 36:1073-1091
We develop and apply a Bayesian model for the loss rates given defaults (LGDs) of European Sovereigns. Financial institutions are in need of LGD forecasts under Pillar II of the regulatory Basel Accord and the downturn in LGD forecasts under Pillar I
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b6bb98c014352beb9685dd1920a20968
https://doi.org/10.1016/j.ijforecast.2019.11.004
https://doi.org/10.1016/j.ijforecast.2019.11.004
Autor:
Rainer Jobst
Publikováno v:
Journal of Credit Risk.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::698a79998eb7550d85afdacf278db73d
https://doi.org/10.21314/jcr.2022.011
https://doi.org/10.21314/jcr.2022.011
Publikováno v:
Journal of Futures Markets. 35:300-320
The authors would like to thank the editor Bob Webb, and the participants of the 2014 Deakin University Conference on the Performance of Financial Markets and Credit Derivatives for helpful and valuable comments. The support by the Centre for Interna
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8ae1f35ba5826348e05d5c7624eb8b2c
https://doi.org/10.1002/fut.21695
https://doi.org/10.1002/fut.21695
Publikováno v:
The Journal of Risk Model Validation. 5:3-24
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::08fb5bd58bcb59ccccefc6278f5998e0
https://doi.org/10.21314/jrmv.2011.070
https://doi.org/10.21314/jrmv.2011.070
Publikováno v:
Zeitschrift für das Gesamte Kreditwesen. 10/15/2021, Vol. 74 Issue 20, p34-44. 11p.
Publikováno v:
Zeitschrift für das Gesamte Kreditwesen. 10/15/2020, Vol. 73 Issue 20, p38-48. 11p.
Publikováno v:
Journal of Futures Markets. Apr2015, Vol. 35 Issue 4, p300-320. 21p.
Publikováno v:
Zeitschrift für das Gesamte Kreditwesen. 10/15/2019, Vol. 72 Issue 20, p37-48. 12p.
Publikováno v:
Zeitschrift für das Gesamte Kreditwesen. 10/15/2018, Vol. 71 Issue 20, p40-52. 13p.