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Publications by Martin Jandačka

A Systematic Approach to Multi-Period Stress Testing of Portfolio Credit Risk

Journal of Banking and Finance

English

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Systemic Risk Contributions: A Credit Portfolio Approach

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Macroprudential Stress Testing of Credit Risk: A Practical Approach for Policy Makers

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GCPM: A FLexible Package to Explore Credit Portfolio Risk

Austrian Journal of Statistics

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Large Portfolio Credit Risk Modeling

International Journal of Theoretical and Applied Finance

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The Pricing of Portfolio Credit Risk

SSRN Electronic Journal

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Quantifying Credit Portfolio Losses Under Multi-Factor Models

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Multi-Period Portfolio Selection With Drawdown Control

Annals of Operations Research

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Risk Measurement for Portfolio Credit Risk Based on a Mixed Poisson Model

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Multi-Portfolio Optimization: A Potential Game Approach

Lecture Notes of the Institute for Computer Sciences, Social-Informatics and Telecommunications Engineering

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