Default Clustering in Large Portfolios: Typical Events

Default Risk Modeling Beyond the First-Passage Approximation: Extended Black-Cox Model

Dependence of defaults and recoveries in structural credit risk models

Dependent default and recovery: MCMC study of downturn LGD credit risk model

Derivatives and Credit Contagion in Interconnected Networks

Deterministic definition of the capital risk

Dual Representation of Quasiconvex Conditional Maps

Dynamic Coherent Acceptability Indices and their Applications to Finance

Dynamic operational risk: modeling dependence and combining different sources of information

Dynamic risk measures

Empirical Evidence for the Structural Recovery Model

Estimating discriminatory power and PD curves when the number of defaults is small

Estimating financial risk measures for futures positions: a non-parametric approach

Estimating financial risk using piecewise Gaussian processes

Estimation of Operational Risk Capital Charge under Parameter Uncertainty

Evaluating the Precision of Estimators of Quantile-Based Risk Measures

Exponential Spectral Risk Measures

Extreme Measures of Agricultural Financial Risk

Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements

Feasibility of Portfolio Optimization under Coherent Risk Measures