Extreme Portfolio Loss Correlations in Credit Risk

by Andreas Mühlbacher, Thomas Guhr
Published 2018-07-01

Credit Risk Meets Random Matrices: Coping with Non-Stationary Asset Correlations

by Andreas Mühlbacher, Thomas Guhr
Published 2018-04-01

Concurrent credit portfolio losses.

by Joachim Sicking, Thomas Guhr, Rudi Schäfer
Published 2018-01-01

A random matrix approach to credit risk.

by Michael C Münnix, Rudi Schäfer, Thomas Guhr
Published 2014-01-01

Impact and recovery process of mini flash crashes: An empirical study.

by Tobias Braun, Jonas A Fiegen, Daniel C Wagner, Sebastian M Krause, Thomas Guhr
Published 2018-01-01