Multi-period defaults and maturity effects on economic capital in a ratings-based default-mode model
Year of publication: |
2005
|
---|---|
Authors: | Gürtler, Marc ; Heithecker, Dirk |
Publisher: |
Braunschweig : Technische Universität Braunschweig, Institut für Finanzwirtschaft |
Subject: | Basel II | Capital Adequacy Requirements | Probability of Default | Default Mode Models | Maturity Adjustment | Time Horizon |
Series: | Working Paper Series ; FW19V2 |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | German |
Other identifiers: | 684837757 [GVK] hdl:10419/55248 [Handle] RePEc:zbw:tbsifw:FW19V2 [RePEc] |
Classification: | G21 - Banks; Other Depository Institutions; Mortgages ; G28 - Government Policy and Regulation |
Source: |
-
Multi-period defaults and maturity effects on economic capital in a ratings-based default-mode model
Gürtler, Marc, (2005)
-
Systematic credit cycle risk of financial collaterals: Modelling and evidence
Gürtler, Marc, (2005)
-
Modellkonsistente Bestimmung des LGD im IRB-Ansatz von Basel II
Gürtler, Marc, (2004)
- More ...
-
Der Loss Given Default und die Behandlung erwarteter Verluste im Baseler IRB-Ansatz
Gürtler, Marc, (2004)
-
Modellkonsistente Bestimmung des LGD im IRB-Ansatz von Basel II
Gürtler, Marc, (2004)
-
Systematic Credit Cycle Risk of Financial Collaterals: Modelling and Evidence
Gürtler, Marc, (2005)
- More ...