WorldCat Identities

Erlenmaier, Ulrich

Overview
Works: 10 works in 49 publications in 2 languages and 146 library holdings
Roles: Author, Creator
Publication Timeline
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Most widely held works by Ulrich Erlenmaier
Risk management in banking credit risk management and bank closure policies by Ulrich Erlenmaier( )

5 editions published in 2001 in English and held by 23 WorldCat member libraries worldwide

Models of joint defaults in credit risk management by Ulrich Erlenmaier( Book )

5 editions published in 2001 in English and held by 13 WorldCat member libraries worldwide

Default probabilities and default correlations by Ulrich Erlenmaier( Book )

5 editions published in 2001 in English and held by 11 WorldCat member libraries worldwide

Starting from the Merton framework for firm defaults, we provide the analytics and robustness of the relationship between default correlations. We show that loans with higher default probabilities will not only have higher variances but also higher correlations between loans. As a consequence, portfolio standard deviation can increase substantially when loan default probabilities rise. This result has two important implications. First, relative prices of loans with different default probabilities should reflect the differential impact on portfolio standard deviation. Second, the standard deviation of loan portfolios and of default rates, as well as the required economic capital will vary significantly over the business cycle
Bundling and the unanimity rule by Ulrich Erlenmaier( Book )

5 editions published between 2004 and 2005 in English and held by 11 WorldCat member libraries worldwide

Unanimity rule constitutions by Ulrich Erlenmaier( Book )

3 editions published in 2000 in English and held by 11 WorldCat member libraries worldwide

Spezifische Aktivität und funktionelles autonomes Volumen der Schilddrüse by Ulrich Erlenmaier( )

6 editions published in 1994 in German and held by 7 WorldCat member libraries worldwide

A new criterion for tightness of stochastic processes and an application to Markov processes by Ulrich Erlenmaier( )

1 edition published in 2016 in English and held by 0 WorldCat member libraries worldwide

 
Audience Level
0
Audience Level
1
  Kids General Special  
Audience level: 0.90 (from 0.85 for Bundling a ... to 0.94 for Default pr ...)

Associated Subjects
Languages
English (24)

German (6)