IRB PD model accuracy validation in the presence of default correlation : a twin confidence interval approach
Dmitriy Borzykh, Henry Penikas
| Year of publication: |
2021
|
|---|---|
| Authors: | Borzykh, Dmitriy ; Penikas, Henry |
| Subject: | Binary choice models | Bernoulli random variables | Default correlation | Confidence interval | Basel III | IRB | Kreditrisiko | Credit risk | Basler Akkord | Basel Accord | Schätztheorie | Estimation theory | Korrelation | Correlation | Präferenztheorie | Theory of preferences |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1057/s41283-021-00079-2 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012792821