EconBiz - Find Economic Literature
    • Logout
    • Change account settings
  • A-Z
  • Beta
  • About EconBiz
  • News
  • Thesaurus (STW)
  • Academic Skills
  • Help
  •  My account 
    • Logout
    • Change account settings
  • Login
EconBiz - Find Economic Literature
Publications Events
Search options
Advanced Search history
My EconBiz
Favorites Loans Reservations Fines
    You are here:
  • Home
  • Search: subject:"structural credit portfolio models"
Narrow search

Narrow search

Year of publication
Subject
All
Basel II 2 IRB approach 2 double default 2 regulatory capital 2 structural credit portfolio models 2 Kreditrisiko 1 Kreditwürdigkeit 1 Portfolio-Management 1 Theorie 1
more ... less ...
Online availability
All
Free 2
Type of publication
All
Book / Working Paper 2
Type of publication (narrower categories)
All
Working Paper 1
Language
All
English 1 Undetermined 1
Author
All
Ebert, Sebastian 2 Lütkebohmert, Eva 2
Institution
All
University of Bonn, Germany 1
Published in...
All
Bonn Econ Discussion Papers 2
Source
All
EconStor 1 RePEc 1
Showing 1 - 2 of 2
Cover Image
Improved Modeling of Double Default Effects in Basel II - An Endogenous Asset Drop Model without Additional Correlation
Ebert, Sebastian; Lütkebohmert, Eva - 2009
In 2005 the Internal Ratings Based (IRB) approach of `Basel II' was enhanced by a `treatment of double default effects' to account for credit risk mitigation techniques such as ordinary guarantees or credit derivatives. This paper reveals several severe problems of this approach and presents a...
Persistent link: https://www.econbiz.de/10010270021
Saved in:
Cover Image
Improved Modeling of Double Default Effects in Basel II - An Endogenous Asset Drop Model without Additional Correlation
Ebert, Sebastian; Lütkebohmert, Eva - University of Bonn, Germany - 2009
In 2005 the Internal Ratings Based (IRB) approach of `Basel II' was enhanced by a `treatment of double default effects' to account for credit risk mitigation techniques such as ordinary guarantees or credit derivatives. This paper reveals several severe problems of this approach and presents a...
Persistent link: https://www.econbiz.de/10008461347
Saved in:
A service of the
zbw
  • Sitemap
  • Plain language
  • Accessibility
  • Contact us
  • Imprint
  • Privacy

Loading...