Estimating correlation parameters in credit portfolio models under time-varying and nonhomogeneous default probabilities
Kevin Jakob
| Year of publication: |
2022
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|---|---|
| Authors: | Jakob, Kevin |
| Published in: |
The journal of credit risk : published quarterly by Incisive Media. - London : Infopro Digital, ISSN 1744-6619, ZDB-ID 2170422-3. - Vol. 18.2022, 4, p. 29-63
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| Subject: | credit risk | default correlation | point-in-time (PIT) | trough-the-cycle (TTC) | Kreditrisiko | Credit risk | Korrelation | Correlation | Portfolio-Management | Portfolio selection | Theorie | Theory | Insolvenz | Insolvency | Schätzung | Estimation | Basler Akkord | Basel Accord |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCR.2022.010 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014247865