A multifactor approach for systematic default and recovery risk
Year of publication: |
2005
|
---|---|
Authors: | Rösch, Daniel ; Scheule, Harald |
Published in: |
The journal of fixed income. - London : IPR Journals, ISSN 1059-8596, ZDB-ID 1116103-6. - Vol. 15.2005, 2, p. 63-75
|
Subject: | Theorie | Theory | Insolvenz | Insolvency | Kreditrisiko | Credit risk | CAPM | Basler Akkord | Basel Accord |
-
Coping with inconsistencies in bank risk weighted assets
Araten, Michel, (2013)
-
Forecasting probabilities of default and loss rates given default in the presence of selection
Rösch, Daniel, (2014)
-
Krüger, Steffen, (2017)
- More ...
-
The empirical relation between credit quality, recovery and correlation
Rösch, Daniel, (2009)
-
The Empirical Relation between CreditQuality, Recovery, and Correlation
Rösch, Daniel, (2009)
-
Stress-Testing Credit Risk Parameters - An Application toRetail Loan Portfolios
Rösch, Daniel, (2007)
- More ...