Considering the dependence between the credit loss severity and the probability of default in the estimate of portfolio credit risk : an experimental analysis
by Annalisa Di Clemente
| Year of publication: |
2014
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|---|---|
| Authors: | Di Clemente, Annalisa |
| Published in: |
Studi economici : rivista quadrimestrale. - Napoli : Fac., ISSN 0039-2928, ZDB-ID 428979-1. - Vol. 68.2013, 1, p. 5-24
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| Subject: | Loss Given Default | Probability of Default | Expected Shortfall | Value-at Risk | Monte Carlo Simulation | Conditional Beta Function | Kreditrisiko | Credit risk | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Monte-Carlo-Simulation | Monte Carlo simulation | Theorie | Theory | Insolvenz | Insolvency | Basler Akkord | Basel Accord | Risikomanagement | Risk management | Wahrscheinlichkeitsrechnung | Probability theory | Kreditgeschäft | Bank lending | Verlust | Loss |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010389432