Simulating credit loss distributions : empirical versus the Vasicek model
Natasa Milonas, Gary van Vuuren
| Year of publication: |
2024
|
|---|---|
| Authors: | Milonas, Natasa ; Van Vuuren, Gary |
| Published in: |
International journal of economics and financial issues : IJEFI. - Mersin : EconJournals, ISSN 2146-4138, ZDB-ID 2632572-X. - Vol. 14.2024, 2, p. 77-88
|
| Subject: | Credit risk | Vasicek Distribution | ASRF Model | Kreditrisiko | Theorie | Theory | Simulation | Statistische Verteilung | Statistical distribution | Risikomaß | Risk measure | Basler Akkord | Basel Accord |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.32479/ijefi.15698 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014584054