Asset correlations in single factor credit risk models : an empirical investigation
Hestia Jacomina Stoffberg and Gary van Vuuren
| Year of publication: |
April 2016
|
|---|---|
| Authors: | Stoffberg, Hestia Jacomina ; Van Vuuren, Gary |
| Published in: |
Applied economics. - Abingdon : Routledge, ISSN 0003-6846, ZDB-ID 280176-0. - Vol. 48.2016, 16/18, p. 1602-1617
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| Subject: | Asset correlation | Vasicek distribution | retail loans | Basel | Kreditrisiko | Credit risk | Basler Akkord | Basel Accord | Korrelation | Correlation | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Kreditgeschäft | Bank lending |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/00036846.2015.1103040 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011456702