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  • Search: subject:"LGD modeling"
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Year of publication
Subject
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Basel Accord 1 Basler Akkord 1 CECL 1 Credit risk 1 IFRS 1 IFRS 9 1 Kreditrisiko 1 LGD modeling 1 Risikomanagement 1 Risk management 1 Theorie 1 Theory 1 lifetime probability of default 1
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Online availability
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Free 1
Type of publication
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Book / Working Paper 1
Type of publication (narrower categories)
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Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
Language
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English 1
Author
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Groß, Marco 1 Laliotis, Dimitrios 1 Leika, Mindaugas 1 Lukyantsau, Pavel 1
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IMF working papers 1
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ECONIS (ZBW) 1
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Expected credit loss modeling from a top-down stress testing perspective
Groß, Marco; Laliotis, Dimitrios; Leika, Mindaugas; … - 2020
The objective of this paper is to present an integrated tool suite for IFRS 9- and CECL-compatible estimation in top-down solvency stress tests. The tool suite serves as an illustration for institutions wishing to include accounting-based approaches for credit risk modeling in top-down stress...
Persistent link: https://www.econbiz.de/10012302079
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