Modelling and calibration errors in measures of portfolio credit risk
Year of publication: |
2007
|
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Authors: | Tarashev, Nikola A. ; Zhu, Haibin |
Publisher: |
Basel : Bank for Internat. Settlements |
Subject: | Asymptotic Single-Risk Faktor (ASRF) model | Portfolio-Management | Portfolio selection | Kreditrisiko | Credit risk | Messung | Measurement | Risikomaß | Risk measure | Theorie | Theory | Schätzung | Estimation | Welt | World |
Extent: | 38 S. graph. Darst. |
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Series: | BIS working papers. - Basle, ISSN 1020-0959, ZDB-ID 1482126-6. - Vol. 230 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
Language: | English |
Notes: | Internetausg.: http://www.bis.org/publ/work230.pdf |
Source: | ECONIS - Online Catalogue of the ZBW |
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