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A credit risk model for large dimensional portfolios with application to economic capital
Business collateral and personal commitments in SME lending
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Credit risk—A structural model with jumps and correlations
Evaluating credit risk models
Importance sampling for integrated market and credit portfolio models
On the parameterization of the CreditRisk+ model for estimating credit portfolio risk
Ratings-based credit risk modelling:An empirical analysis
Risk assessment for credit portfolios:A coupled Markov chain model
Risk management in credit risk portfolios with correlated assets
Analytical methods for hedging systematic credit risk with linear
factor portfolios
The delivery option in credit default swaps
The effects of estimation error on measures of portfolio credit risk
The credit risk in SME loans portfolios:Modeling issues, pricing, and capital
VaR and expected shortfall in portfolios of dependent credit risks: Conceptual and practical insights
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