Accounting for PD-LGD dependency : a tractable extension to the Basel ASRF framework
Year of publication: |
2023
|
---|---|
Authors: | Barbagli, Matteo ; Vrins, Frédéric |
Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 125.2023, p. 1-26
|
Subject: | Basel regulation | Credit risk | Downturn LGD | Factor model | Value-at-risk | Kreditrisiko | Basler Akkord | Basel Accord | Risikomaß | Risk measure | Theorie | Theory | Risikomanagement | Risk management | Welt | World |
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