Granularity Adjustment in a General Factor Model

The granularity adjustment technique is embedded into a general multi-factor model. ... In this paper, a counter-example with negative value of the granularity adjustment is given for the well-known Vasicek (2002) model.

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Year of publication:	2005-05-30
Authors:	Rau-Bredow, Hans
Subject:	Kreditrisiko \| Strukturiertes Finanzprodukt

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Extent:	208896 bytes 16 p. application/pdf
Series:	Hans Rau-Bredow - Publikationen
Type of publication:	Book / Working Paper
Language:	English
Classification:	D81 - Criteria for Decision-Making under Risk and Uncertainty ; G21 - Banks; Other Depository Institutions; Mortgages ; G28 - Government Policy and Regulation ; Corporate finance and investment policy. General ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005850998