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Date: 2010
Language: eng
Resource Type: book chapter
Identifier: http://hdl.handle.net/1959.14/117531
Description: 61 page(s)
Date: 2009
Language: eng
Resource Type: book
Identifier: http://hdl.handle.net/1959.14/45430
Description: In the last decade rating-based models have become very popular in credit risk management. These systems use the rating of a company as the decisive variable to evaluate the default risk of a bond or ... More
Date: 2007
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/75103
Description: The liberalization of electricity markets has forced energy producing companies and traders to calculate costs closer to the profit frontier. Thus, an efficient risk management and risk controlling ar... More
Reviewed:Reviewed
Date: 2007
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/74204
Description: Using spot and futures price data from the German EEX Power market, we test the adequacy of various one-factor and two-factor models for electricity spot prices. The models are compared along two diff... More
Reviewed:Reviewed
Date: 2005
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/152944
Description: Transition matrices are an important determinant in risk management and VAR calculations for credit portfolios. It is well known that rating migration behavior is not constant through time in that it ... More
Reviewed:Reviewed
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