Default risk charge : modeling framework for the "Basel" risk measure
Sascha Wilkens and Mirela Pedescu
| Year of publication: |
April 2017
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|---|---|
| Authors: | Wilkens, Sascha ; Pedescu, Mirela |
| Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 19.2016/2017, 4, p. 23-50
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| Subject: | banking regulation | risk modeling | market risk | Fundamental Review of the Trading Book (FRTB) | default risk charge (DRC) | Kreditrisiko | Credit risk | Basler Akkord | Basel Accord | Bankrisiko | Bank risk | Risikomaß | Risk measure | Risikomanagement | Risk management | Portfolio-Management | Portfolio selection | Risiko | Risk | Marktrisiko | Market risk | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JOR.2017.358 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011710248