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Search: subject:"Asymptotic single risk factor (ASRF) model"
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one-factor Gaussian copula
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Rutkowski, Marek
3
Tarca, Silvio
3
Kaposty, Florian
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Löderbusch, Matthias
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Maciag, Jakob
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International journal of theoretical and applied finance
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Journal of Financial Regulation and Compliance
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Journal of financial regulation and compliance : an international journal
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The journal of credit risk : published quarterly by Incisive Media
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ECONIS (ZBW)
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Stochastic loss given default and exposure at default in a structural model of portfolio credit risk
Kaposty, Florian
;
Löderbusch, Matthias
;
Maciag, Jakob
- In:
The journal of credit risk : published quarterly by …
13
(
2017
)
1
,
pp. 95-123
Persistent link: https://www.econbiz.de/10011670772
Saved in:
2
Assessing the Basel II internal ratings-based approach : Empirical evidence from Australia
Tarca, Silvio
;
Rutkowski, Marek
- In:
Journal of Financial Regulation and Compliance
24
(
2016
)
2
,
pp. 106-139
, which implements an
asymptotic
single
risk
factor
(
ASRF
)
model
, plays an important role in protecting the Australian banking …
Persistent link: https://www.econbiz.de/10014870732
Saved in:
3
Assessing the Basel II internal ratings-based approach : empirical evidence from Australia
Tarca, Silvio
;
Rutkowski, Marek
- In:
Journal of financial regulation and compliance : an …
24
(
2016
)
2
,
pp. 106-139
Persistent link: https://www.econbiz.de/10011563824
Saved in:
4
Regulatory capital modeling for credit risk
Rutkowski, Marek
;
Tarca, Silvio
- In:
International journal of theoretical and applied finance
18
(
2015
)
5
,
pp. 1-44
Persistent link: https://www.econbiz.de/10011403880
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