Loss functions for Loss Given Default model comparison
Christophe Hurlin, Jérémy Leymarie, Antoine Patin
| Year of publication: |
1 July 2018
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| Authors: | Hurlin, Christophe ; Leymarie, Jérémy ; Patin, Antoine |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 268.2018, 1 (1.7.), p. 348-360
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| Subject: | Risk management | Loss Given Default (LGD) | Credit risk capital requirement | Loss function | Forecasts comparison | Kreditrisiko | Credit risk | Basler Akkord | Basel Accord | Risikomanagement | Theorie | Theory | Verlust | Loss | Prognoseverfahren | Forecasting model | Kreditgeschäft | Bank lending | Risikomaß | Risk measure |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2018.01.020 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011813102