Stress-Testing Credit Risk Parameters - An Application toRetail Loan Portfolios
Year of publication: |
2007-04-06
|
---|---|
Authors: | Rösch, Daniel ; Scheule, Harald |
Institutions: | University <Regensburg> / Department of Statistics, Faculty of Business, Economics and Business Information Systems |
Subject: | Value at Risk | Kreditrisiko | Konjunktur | Korrelation | Default Correlations | Basler Eigenkapitalvereinbarung <2001> | Basel II | Ausfallwahrscheinlichkeit |
Extent: | 259072 bytes 20 p. application/pdf |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Classification: | C51 - Model Construction and Estimation ; G20 - Financial Institutions and Services. General ; G28 - Government Policy and Regulation ; Management of financial services: stock exchange and bank management science (including saving banks) ; Individual Working Papers, Preprints ; USA |
Source: | USB Cologne (business full texts) |
-
Forecasting Retail Portfolio Credit Risk
Rösch, Daniel, (2004)
-
The empirical relation between credit quality, recovery and correlation
Rösch, Daniel, (2009)
-
The empirical relation between credit quality, recovery and correlation
Rösch, Daniel, (2009)
- More ...
-
Dynamic Implied Correlation Modeling and Forecasting in Structured Finance
Löhr, Sebastian, (2013)
-
A Simple Econometric Approach for Modeling Stress Event Intensities
Jobst, Rainer, (2015)
-
Securitization rating performance and agency incentives
Rösch, Daniel,
- More ...