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  • Search: isPartOf:"Tinbergen Institute Discussion Paper 12-057/2/DSF36"
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Credit risk 1 Kreditrisiko 1 Market risk 1 Marktrisiko 1 Risiko 1 Risk 1 Theorie 1 Theory 1
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Free 1
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English 1
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Lucas, André 1 Verhoef, Bastiaan 1
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Tinbergen Institute Discussion Paper 12-057/2/DSF36 1
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ECONIS (ZBW) 1
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Aggregating Credit and Market Risk : The Impact of Model Specification
Lucas, AndrĂ© - 2012
We investigate the effect of model specification on the aggregation of (correlated) market and credit risk. We focus on the functional form linking systematic credit risk drivers to default probabilities. Examples include the normal based probit link function for typical structural models, or...
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