Econometric Analysis of Financial Data in Risk Management

This part completes the consultation series of Dean Fantazzini dealing with econometric analysis of financial data in credit risk management. Particularly, analysis of multidimensional credit risk models is continued from the previous discussion

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Year of publication:	2009
Authors:	Fantazzini, Fantazzini , Dean
Published in:	Applied Econometrics. - Publishing House "SINERGIA PRESS". - Vol. 14.2009, 2, p. 100-127
Publisher:	Publishing House "SINERGIA PRESS"
Subject:	Credit Risk \| Value at Risk \| Expected Shortfall \| CreditMetrics \| KMV \| CreditRisk+ \| CreditPortfolioView \| Backtesting \| Berkowitz Test

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Extent:	application/pdf
Type of publication:	Article
Language:	Slovenian
Classification:	C22 - Time-Series Models ; C32 - Time-Series Models ; C52 - Model Evaluation and Testing ; c58 ; G17 - Financial Forecasting ; G32 - Financing Policy; Capital and Ownership Structure
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009018549