A new approach to credit ratings

Giorgi Pertaia, Artem Prokhorov, Stan Uryasev

Year of publication:	2022
Authors:	Pertaia, Giorgi ; Prokhorov, Artem ; Uryasev, Stan
Published in:	Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 140.2022, p. 1-12
Subject:	Buffered probability of exceedance \| CDO \| CDS \| Collateralized debt obligation \| Conditional value at risk \| Credit Default Swap \| Credit rating \| CVaR \| Expected shortfall \| Loss given default \| Portfolio optimization \| Probability of exceedance \| Tranche structuring \| Value at risk \| VaR \| Risikomaß \| Risk measure \| Kreditderivat \| Credit derivative \| Kreditrisiko \| Credit risk \| Portfolio-Management \| Portfolio selection \| Kreditwürdigkeit \| Theorie \| Theory \| Risikomanagement \| Risk management \| Wahrscheinlichkeitsrechnung \| Probability theory \| Schätzung \| Estimation \| Asset-Backed Securities \| Asset-backed securities \| Kreditsicherung \| Collateral

Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.1016/j.jbankfin.2021.106097 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

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