Altman, Edward I.; Onorato, Mario - Salomon Center for the Study of Financial Institutions … - 2003
event marked a breakthrough as
regards the credit risk concept for capital adequacy. The committee’s proposal dramatically … the JLT model, the DT model
makes the recovery rate in the event of default stochastic, and provides a two … both interest rates variations and credit event verifications
6
. The
remainder of this paper is organised as follows …