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Eric Falkenstein
Eric Falkenstein
FAM LLC
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Preferences for stock characteristics as revealed by mutual fund portfolio holdings
EG Falkenstein
The journal of finance 51 (1), 111-135, 1996
14161996
RiskCalc for private companies: Moody's default model
EG Falkenstein, A Boral, LV Carty
Available at SSRN 236011, 2000
2252000
Explanations for the volatility effect: An overview based on the CAPM assumptions
D Blitz, E Falkenstein, P Van Vliet
The Journal of Portfolio Management 40 (3), 61-76, 2014
1002014
Testing for rating consistency in annual default rates
R Cantor, E Falkenstein
The Journal of Fixed Income 11 (2), 36-51, 2001
642001
Risk and return in general: Theory and evidence
EG Falkenstein
Available at SSRN 1420356, 2009
522009
DefProb: A Corporate Probability of Default Model
EG Falkenstein
Available at SSRN 1103404, 2008
472008
Mutual funds, idiosyncratic variance, and asset returns
EG Falkenstein
Northwestern University, 1994
451994
Minimizing basis risk from non-parallel shifts in the yield curve Part II: Principal Components
E Falkenstein, J Hanweck
Journal of fixed income 7, 85-90, 1997
371997
Accounting for economic and regulatory capital in RAROC analysis
E Falkenstein
Bank Accounting and Finance 11, 29-35, 1997
36*1997
Minimizing basis risk from non-parallel shifts in the yield curve
E Falkenstein, J Hanweck, JP Morgan
Journal of Fixed Income 6, 60-68, 1996
261996
RiskCalc Private Model: Moody's Default Model for Private Firms
E Falkenstein, A Boral, L Carty
New York: Moody's Investors Service, 2000
232000
Finding alpha: the search for alpha when risk and return break down
E Falkenstein
John Wiley & Sons, 2009
192009
Measuring private firm default risk
J Herrity, SC Keenan, JR Sobehart, LV Carty, E Falkenstein
Moody’s Investors Service Special Comment (June, 1999), 1999
171999
Credit scoring for corporate debt
E Falkenstein
Credit Ratings: Methodologies, Rationale and Default Risk, 169-188, 2002
162002
The missing risk premium: Why low volatility investing works
EG Falkenstein
Eric Falkenstein, 2012
132012
Some empirical results on the Merton Model
E Falkenstein, A Boral
Risk Professional, April, 2001
122001
The risk manager of the future: Scientist or poet?
E Falkenstein
The Appraisal Journal 70 (3), 343, 2002
82002
RiskCalc for private companies II: More results and the Australian model
E Falkenstein, A Boral, AE Kocagil
Moody’s Investor Services, 2000
82000
Validating commercial risk grade mappings: why and how
E Falkenstein
Journal of Lending and Credit Risk Management 82 (5), 26-33, 2000
62000
The Missing Risk Premium
E Falkenstein
Place of publication not identified]: Eric, 2012
32012
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Artikelen 1–20