IRB asset and default correlation : rationale for the macroprudential mark-ups to the IRB risk-weights
Henry Penikas
| Year of publication: |
2023
|
|---|---|
| Authors: | Penikas, Henry |
| Subject: | Asset correlation | Basel II | Bernoulli trials | Binomial distribution | Correlated defaults | IRB | Macroprudential mark-ups | Kreditrisiko | Credit risk | Basler Akkord | Basel Accord | Korrelation | Correlation | Portfolio-Management | Portfolio selection | Mark-up Pricing | Mark-up pricing | Finanzmarktaufsicht | Financial supervision |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1057/s41283-022-00109-7 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013490813