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

Requirements

VaR and expected shortfall in portfolios

of dependent credit risks: Conceptual

and practical insights