The robustness of estimatiors in structural credit loss distributions
Year of publication: |
2015
|
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Authors: | Batiz-Zuk, Enrique ; Christodoulakis, George A. ; Poon, Ser-Huang |
Published in: |
The journal of credit risk : published quarterly by Incisive Media. - London : Infopro Digital, ISSN 1744-6619, ZDB-ID 2170422-3. - Vol. 11.2015, 2, p. 67-97
|
Subject: | Basel III | credit risk | Monte CArlo | non-Gaussian distribution | skewed Student-t distribution | Vasicek loan loss distribution | Statistische Verteilung | Statistical distribution | Theorie | Theory | Kreditrisiko | Credit risk | Basler Akkord | Basel Accord | Risikomaß | Risk measure | Kreditgeschäft | Bank lending | Verlust | Loss | Monte-Carlo-Simulation | Monte Carlo simulation | Wahrscheinlichkeitsrechnung | Probability theory |
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