Unsystematic Credit Risk and Coherent Risk Measures

The aim of this paper is to combine two hitherto unrelated lines of research, namely the granularity adjustment technique for unsystematic credit risk and the theory of coherent risk measures. In theexisting literature, it has always been taken for granted that such a granularity adjustment is positive.

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Year of publication:	2005-05-31
Authors:	Rau-Bredow, Hans
Subject:	Kreditrisiko \| Strukturiertes Finanzprodukt \| Defizit \| deficit

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Extent:	208896 bytes 16 p. application/pdf
Series:	Hans Rau-Bredow - Publikationen
Type of publication:	Book / Working Paper
Language:	English
Classification:	Corporate finance and investment policy. General ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005850997