Credit contagion in the presence of non-normal shocks
Year of publication: |
2015
|
---|---|
Authors: | Batiz-Zuk, Enrique ; Christodoulakis, George A. ; Poon, Ser-Huang |
Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 37.2015, p. 129-139
|
Subject: | Vasicek–Merton credit loss distribution | Single factor model | Contagion | Basel | Non-Gaussian distributions | Skew-Normal | Skew-Student t | Theorie | Theory | Kreditrisiko | Credit risk | Schock | Shock | Ansteckungseffekt | Contagion effect | Finanzkrise | Financial crisis | Basler Akkord | Basel Accord | Statistische Verteilung | Statistical distribution | Kreditgeschäft | Bank lending |
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