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distribution of alpha by finite normal mixture model. We introduce the parametric bootstrap procedure to determine the number of …
Persistent link: https://www.econbiz.de/10009475300
Incluye bibliografía ; This article estimates a general credit risk model with both macroeconomic and latent credit factors for Spanish banks during the period 2004-2010. The proposed framework allows to estimate with bank level data both the standard credit risk model of Basel II and...
Persistent link: https://www.econbiz.de/10012530413