Modeling severity risk under PD-LGD correlation
Chulwoo Han
| Year of publication: |
2017
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|---|---|
| Authors: | Han, Chulwoo |
| Published in: |
The European journal of finance. - Abingdon, Oxon : Routledge, Taylor & Francis Group, ISSN 1351-847X, ZDB-ID 1282412-4. - Vol. 23.2017, 13/15, p. 1572-1588
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| Subject: | severity risk | loss given default | credit risk | CreditRisk+ | downturn LGD | Kreditrisiko | Credit risk | Risikomaß | Risk measure | Basler Akkord | Basel Accord | Risikomanagement | Risk management | Portfolio-Management | Portfolio selection | Theorie | Theory | Kreditgeschäft | Bank lending | Bankrisiko | Bank risk | Korrelation | Correlation | Risiko | Risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1351847X.2016.1212385 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012014695