Capital allocation in credit portfolios in a multi-period setting : a literature review and practical guidelines

Tamara Pfister; Sebastian Utz; Maximilian Wimmer

Year of publication:	2015
Authors:	Pfister, Tamara ; Utz, Sebastian ; Wimmer, Maximilian
Published in:	Review of managerial science. - Berlin : Springer, ISSN 1863-6683, ZDB-ID 2296460-5. - Vol. 9.2015, 1, p. 1-32
Subject:	Risk capital \| Credit risk \| Multi-period risk \| Conditionally independent defaults \| Copula models \| Capital allocation \| Risk contribution \| Kreditrisiko \| Portfolio-Management \| Portfolio selection \| Risikomaß \| Risk measure \| Risikomanagement \| Risk management \| Theorie \| Theory \| Risiko \| Risk \| Multivariate Verteilung \| Multivariate distribution

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