A credit portfolio framework under dependent risk parameters : probability of default, loss given default and exposure at default
Johanna Eckert , Kevin Jakob and Matthias Fischer
| Year of publication: |
March 2016
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| Authors: | Eckert, Johanna ; Jakob, Kevin ; Fischer, Matthias |
| Published in: |
The journal of credit risk : published quarterly by Incisive Media. - London : Infopro Digital, ISSN 1744-6619, ZDB-ID 2170422-3. - Vol. 12.2016, 1, p. 97-119
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| Subject: | dependent risk parameters | factor model | CreditMetrics | Merton model | secured and unsecured recovery rate | credit conversion factor (CCF) | Kreditrisiko | Credit risk | Insolvenz | Insolvency | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Theorie | Theory | Risikomanagement | Risk management | Basler Akkord | Basel Accord | Risiko | Risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011566295