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Publications by Stefan Weber

Cyclical Correlations, Credit Contagion, and Portfolio Losses

SSRN Electronic Journal

English

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Quantifying Credit Portfolio Losses Under Multi-Factor Models

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Contagion and Volatility With Imperfect Credit Markets

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Large Portfolio Credit Risk Modeling

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Credit Losses in Australasian Banking

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The Pricing of Portfolio Credit Risk

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Temporal Correlations of Local Network Losses

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When in Peril, Retrench: Testing the Portfolio Channel of Contagion

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Systemic Risk Contributions: A Credit Portfolio Approach

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When in Peril, Retrench: Testing the Portfolio Channel of Contagion

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