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Search: subject:"Maturity Adjustment"
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Basel II
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Capital Adequacy Requirements
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Default Mode Models
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Maturity Adjustment
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Probability of Default
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Gürtler, Marc
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Heithecker, Dirk
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Department Wirtschaftswissenschaften, Technische Universität Carolo-Wilhelmina zu Braunschweig
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Working Papers / Department Wirtschaftswissenschaften, Technische Universität Carolo-Wilhelmina zu Braunschweig
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Multi-period defaults and maturity effects on economic capital in a ratings-based default-mode model
Gürtler, Marc
;
Heithecker, Dirk
-
2005
. Our results are close to the parameters, that are used in the
maturity
adjustment
of Basel II and may help to get a better …
Persistent link: https://www.econbiz.de/10010307954
Saved in:
2
Multi-period defaults and maturity effects on economic capital in a ratings-based default-mode model
Gürtler, Marc
;
Heithecker, Dirk
-
Department Wirtschaftswissenschaften, Technische …
-
2005
. Our results are close to the parameters, that are used in the
maturity
adjustment
of Basel II and may help to get a better …
Persistent link: https://www.econbiz.de/10009493745
Saved in:
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