The impact of asset price bubbles on credit risk measures
Year of publication: |
July-September 2016
|
---|---|
Authors: | Jacobs, Michael <Jr.> |
Published in: |
Inventi impact: emerging economies. - Bhopal : IJPL, ISSN 2249-0949, ZDB-ID 2681333-6. - 2016, 3, p. 160-175
|
Subject: | Financial crisis | Credit risk | Model risk | Asset Price Bubbles | Expected loss | Credit Val-Ue-At-Risk | Stochastic differential equations | Probability of default | Loss given default | Constant elasticity of Variance | Cox-Ingersoll-Ross | Theorie | Theory | Kreditrisiko | Spekulationsblase | Bubbles | Finanzkrise | Risikomaß | Risk measure | Basler Akkord | Basel Accord | Derivat | Derivative | CAPM | Portfolio-Management | Portfolio selection |
-
Jacobs, Michael <Jr.>, (2016)
-
Di Clemente, Annalisa, (2014)
-
The loss given default of a low-default portfolio with weak contagion
Wei, Li, (2016)
- More ...
-
Jacobs, Michael <Jr.>, (1998)
-
Jacobs, Michael <Jr.>, (2015)
-
The quantification and aggregation of model risk : perspectives on potential approaches
Jacobs, Michael <Jr.>, (2015)
- More ...