CUTTING EDGE - Credit risk - Modest means - Credit loss models typically calibrate default separate from loss given default. Here, the author calibrates simultaneously, using credit loss data. This produces a surprising test result: The credit loss models do not significantly outperform a statistical distribution.
| Year of publication: |
2010
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|---|---|
| Authors: | D'Alessandro, Simone ; Luzzati, Tommaso ; Morroni, Mario |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 23.2010, 1, p. 112-117
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