Loss given default modeling : an application to data from a Polish bank
Marek Karwański, Michał Gostkowski and Piotr Jałowiecki
| Year of publication: |
2015
|
|---|---|
| Authors: | Karwański, Marek ; Gostkowski, Michał ; Jałowiecki, Piotr |
| Published in: |
The journal of risk model validation. - London : Infopro Digital, ISSN 1753-9579, ZDB-ID 2316764-6. - Vol. 9.2015, 3, p. 23-40
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| Subject: | loss given default | Monte Carlo | beta regression model | multinominal logit model | New Capital Accord | regression error characteristic curve | Kreditrisiko | Credit risk | Basler Akkord | Basel Accord | Logit-Modell | Logit model | Regressionsanalyse | Regression analysis | Theorie | Theory | Bank | Polen | Poland | Monte-Carlo-Simulation | Monte Carlo simulation | Insolvenz | Insolvency |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011410319