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Publications by Nikola A. Tarashev

The Pricing of Portfolio Credit Risk

SSRN Electronic Journal

English

The Pricing of Correlated Default Risk: Evidence From the Credit Derivatives Market

SSRN Electronic Journal

English

Related publications

Large Portfolio Credit Risk Modeling

International Journal of Theoretical and Applied Finance

English

A Comparison of Bond Pricing Models in the Pricing of Credit Risk

SSRN Electronic Journal

English

Systemic Risk Contributions: A Credit Portfolio Approach

Journal of Banking and Finance

English

The Credit Risk Pricing With Particle Filter Approach

English

Minimizing Credit Risk and Improving the Quality of the Credit Portfolio of the Commercial Bank

Scientific bulletin of the Southern Institute of Management

English

Severe Loss Probabilities in Portfolio Credit Risk Models

SSRN Electronic Journal

English

Hazardous Immorality: Strategic Externalization of Risk and Credit Pricing

Journal of Risk Finance

English

GCPM: A FLexible Package to Explore Credit Portfolio Risk

Austrian Journal of Statistics

Applied Mathematics

English

Pricing Government Credit: A New Method for Determining Government Credit Risk Exposure

SSRN Electronic Journal

English