Transition probability matrix methodology for incremental risk charge
Tzahi Yavin and Eugene Wang; Hu Zhang; Michael A. Clayton
| Year of publication: |
2014
|
|---|---|
| Authors: | Yavin, Tzahi ; Wang, Eugene ; Zhang, Hu ; Clayton, Michael A. |
| Published in: |
Journal of financial engineering. - Hackensack, NJ : World Scientific, ISSN 2345-7686, ZDB-ID 2813048-0. - Vol. 1.2014, 1, p. 1-47
|
| Subject: | Basel II | incremental risk charge | transition probability matrix | default probability | default correlation | Kreditrisiko | Credit risk | Basler Akkord | Basel Accord | Wahrscheinlichkeitsrechnung | Probability theory | Korrelation | Correlation | Insolvenz | Insolvency | Portfolio-Management | Portfolio selection | Theorie | Theory | Risiko | Risk | Modellierung | Scientific modelling |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010508091