Point-in-time loss-given default rates and exposures at default models for IFRS 9/CECL and stress testing
Gaurav Chawla, Lawrence R. Forest Jr., Scott D. Aguais
| Year of publication: |
2016
|
|---|---|
| Authors: | Chawla, Gaurav ; Forest, Lawrence R. <Jr.> ; Aguais, Scott D. |
| Published in: |
Journal of risk management in financial institutions. - London : Henry Stewart Publ., ISSN 1752-8887, ZDB-ID 2416788-5. - Vol. 9.2016, 3, p. 249-263
|
| Subject: | point-in-time (PIT) | through-the-cycle (TTC) | loss-given default (LGD) | exposure at default (EAD) | IFRS 9/CECL | expected credit loss (ECL) | stress testing | IFRS | Kreditrisiko | Credit risk | Basler Akkord | Basel Accord | Insolvenz | Insolvency | Bankrisiko | Bank risk | Stresstest | Stress test |
| 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/10011661844