57 citations · 110 across the 7 of their papers we have counts for
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q-fin.RM2016
Credit risk: Taking fluctuating asset correlations into account
Thilo A. Schmitt, Rudi Schäfer, Thomas Guhr
In structural credit risk models, default events and the ensuing losses are both derived from the asset values at maturity. Hence it is of utmost importance to choose a distributio…
q-fin.RM2013★ 21 cited
Credit Risk and the Instability of the Financial System: an Ensemble Approach
Thilo A. Schmitt, Desislava Chetalova, Rudi Schäfer +1
The instability of the financial system as experienced in recent years and in previous periods is often linked to credit defaults, i.e., to the failure of obligors to make promised…