An axiomatic approach to default risk and model uncertainty in rating systems
Max Nendel, Jan Streicher
| Year of publication: |
2023
|
|---|---|
| Authors: | Nendel, Max ; Streicher, Jan |
| Published in: |
Journal of mathematical economics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4068, ZDB-ID 217625-7. - Vol. 109.2023, p. 1-19
|
| Subject: | Default risk measure | Model uncertainty | Probability of default | Choquet capacity | Value at risk | Risk-weighted assets | Kreditrisiko | Credit risk | Risikomaß | Risk measure | Risiko | Risk | Theorie | Theory | Insolvenz | Insolvency | Kreditwürdigkeit | Credit rating | Portfolio-Management | Portfolio selection | Bankrisiko | Bank risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jmateco.2023.102896 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014474758