Dependence of defaults and recoveries in structural credit risk models
Rudi Schäfer; Alexander F. R. Koivusalo
| Year of publication: |
2013
|
|---|---|
| Authors: | Schäfer, Rudi ; Koivusalo, Alexander F. R. |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 30.2013, p. 1-9
|
| Subject: | Credit risk | Loss distribution | Value at risk | Expected tail loss | Stochastic processes | Kreditrisiko | Risikomaß | Risk measure | Stochastischer Prozess | Stochastic process | Statistische Verteilung | Statistical distribution | Basler Akkord | Basel Accord | Theorie | Theory | Verlust | Loss | Risikomanagement | Risk management |
| Extent: | graph. Darst. |
|---|---|
| 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/10009702275