Stochastic loss given default and exposure at default in a structural model of portfolio credit risk
Florian Kaposty, Matthias Löderbusch and Jakob Maciag
| Year of publication: |
March 2017
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| Authors: | Kaposty, Florian ; Löderbusch, Matthias ; Maciag, Jakob |
| Published in: |
The journal of credit risk : published quarterly by Incisive Media. - London : Infopro Digital, ISSN 1744-6619, ZDB-ID 2170422-3. - Vol. 13.2017, 1, p. 95-123
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| Subject: | portfolio credit risk model | asymptotic single risk factor (ASRF) model | downturn loss given default (LGD) | downturn exposure at default (EAD) | Kreditrisiko | Credit risk | Portfolio-Management | Portfolio selection | Theorie | Theory | Basler Akkord | Basel Accord | Risikomaß | Risk measure | Risikomanagement | Risk management | Insolvenz | Insolvency | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCR.2017.221 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011670772