Accounting for PD-LGD dependency : a tractable extension to the Basel ASRF framework
Matteo Barbagli, Frédéric Vrins
| Year of publication: |
2023
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|---|---|
| Authors: | Barbagli, Matteo ; Vrins, Frédéric |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 125.2023, p. 1-26
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| Subject: | Basel regulation | Credit risk | Downturn LGD | Factor model | Value-at-risk | Kreditrisiko | Basler Akkord | Basel Accord | Risikomaß | Risk measure | Risikomanagement | Risk management |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2023.106321 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014463531