Point-in-time probability of default term structure models for multiperiod scenario loss projection
Bill Huajian Yang
| Year of publication: |
March 2017
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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. 11.2017, 1, p. 73-94
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| Subject: | CCAR stress testing | impairment loan | IFRS 9 expected credit loss | PD term structure | forward PD | marginal PD | credit index | risk sensitivity | maximum likelihood | Zinsstruktur | Yield curve | Kreditrisiko | Credit risk | IFRS | Theorie | Theory | Verlust | Loss | Kreditgeschäft | Bank lending | Derivat | Derivative | Bankrisiko | Bank risk | Insolvenz | Insolvency | Risikomanagement | Risk management | Basler Akkord | Basel Accord | Risikoprämie | Risk premium |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JRMV.2017.164 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011671182