- 1 Introduction
- 2 The model
- 2.1 Basic setup
- 2.2 Integrating microstructure
- 2.3 Approximation
- 2.4 Properties of the model
- 3 Comparative analysis
- 3.1 Introduction
- 3.2 Asset correlation
- 3.3 Conditional expected loss
- 3.4 Modied Basel II
- 4 Conclusion
- 5 Appendix
- References
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