Grundke, Peter

Profile

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Full Name
Grundke, Peter
 
Variants
Grundke, P
Grundke, Peter
 
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Country
Germany
 
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Publications


1-20 von 22

ErscheinungsdatumTitelAutor(en)
12007Regulatory treatment of the double default effect under the New Basel Accord: how conservative is it?Grundke, Peter 
22009Importance sampling for integrated market and credit portfolio modelsGrundke, Peter 
32010Top-down approaches for integrated risk management: How accurate are they?Grundke, Peter 
42010Changing default risk dependencies during the subprime crisis: DJ iTraxx subindices and goodness-of-fit-testing for copulasGrundke, Peter 
52011Reverse stress tests with bottom-up approachesGrundke, Peter 
62011Copulas, Goodness-of-Fit Tests and Measurement of Stochastic Dependencies Before and During the Financial CrisisGrundke, Peter ; Dieckmann, Simone
72011Reverse stress tests with bottom-up approachesGrundke, Peter 
82012Further recipes for quantitative reverse stress testingGrundke, Peter 
92012Crisis and risk dependenciesGrundke, Peter ; Polle, Simone
102013On the reliability of integrated risk measurement in practiceGrundke, Peter 
112013On the influence of autocorrelation and GARCH-effects on goodness-of-fit tests for copulasGarmann, Sebastian; Grundke, Peter 
122016Ranking Consistency of Systemic Risk Measures: A Simulation-Based Analysis in a Banking Network ModelGrundke, Peter 
132018A macroeconomic reverse stress testGrundke, Peter ; Pliszka, Kamil
142018Marketplace Lending und Verbriefungen: beunruhigende Parallelen?Dinger, Valeriya ; Grundke, Peter ; Hartmann, Bernd J. 
152019Model and Estimation Risk in Credit Risk Stress TestsGrundke, Peter ; Pliszka, Kamil; Tuchscherer, Michael
162019Global systemic risk measures and their forecasting power for systemic eventsGrundke, Peter ; Tuchscherer, Michael
172019Ranking consistency of systemic risk measures: a simulation-based analysis in a banking network modelGrundke, Peter 
182019Model and estimation risk in credit risk stress testsGrundke, Peter ; Pliszka, Kamil; Tuchscherer, Michael
192020Model and estimation risk in credit risk stress testsGrundke, Peter ; Pliszka, Kamil; Tuchscherer, Michael
202020The impact of the Basel III liquidity ratios on banks: Evidence from a simulation studyGrundke, Peter ; Kuehn, Andre