Modelling systematic risk and point-in-time probability of default under the Vasicek asymptotic single-risk-factor model framework
Year of publication: |
2014
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Authors: | Yang, Bill Huajian |
Published in: |
The journal of risk model validation. - London : Infopro Digital, ISSN 1753-9579, ZDB-ID 2316764-6. - Vol. 8.2014, 3, p. 33-48
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Subject: | point-in-time PD | through-the-cycle PD | Vasicek model | systematic risk | entity specific risk | stress testing | rating migration | scenario loss | Theorie | Theory | Risiko | Risk | Kreditrisiko | Credit risk | Bankrisiko | Bank risk | Basler Akkord | Basel Accord | Portfolio-Management | Portfolio selection | Risikomanagement | Risk management | Schätzung | Estimation |
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