Estimating loss-given default through advanced credibility theory
Stefano Bonini and Giuliana Caivano
| Year of publication: |
October-December 2016
|
|---|---|
| Authors: | Bonini, Stefano ; Caivano, Giuliana |
| Published in: |
The European journal of finance. - Abingdon, Oxon : Routledge, Taylor & Francis Group, ISSN 1351-847X, ZDB-ID 1282412-4. - Vol. 22.2016, 13/15, p. 1351-1362
|
| Subject: | loss-given default forecasts | rating model | basel 2 | credit risk modeling | quantitative finance | credibility theory | actuarial techniques for finance | Kreditrisiko | Credit risk | Basler Akkord | Basel Accord | Prognoseverfahren | Forecasting model | Portfolio-Management | Portfolio selection | Risikomanagement | Risk management | Risikomodell | Risk model | Glaubwürdigkeit | Credibility | Versicherungsmathematik | Actuarial mathematics | Optionspreistheorie | Option pricing theory | Risikomaß | Risk measure |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1351847X.2013.870918 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011715432