scholarly journals A Systematic Approach to Multi-Period Stress Testing of Portfolio Credit Risk

2010 ◽  
Author(s):  
Thomas Breuer ◽  
Martin Jandacka ◽  
Javier Mencia ◽  
Martin Summer
Keyword(s):  
Credit Risk ◽  
Stress Testing ◽  
Systematic Approach ◽  
Portfolio Credit Risk

scholarly journals A systematic approach to multi-period stress testing of portfolio credit risk

2012 ◽  
Vol 36 (2) ◽  
pp. 332-340 ◽  
Author(s):  
Thomas Breuer ◽  
Martin Jandačka ◽  
Javier Mencía ◽  
Martin Summer
Keyword(s):  
Credit Risk ◽  
Stress Testing ◽  
Systematic Approach ◽  
Portfolio Credit Risk

Dependent defaults in models of portfolio credit risk

2003 ◽  
Vol 6 (1) ◽  
pp. 59-92 ◽  
Author(s):  
Rüdiger Frey ◽  
Alexander McNeil
Keyword(s):  
Credit Risk ◽  
Portfolio Credit Risk
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