A bottom-up, reduced form credit risk model approach for the determination of collateralised loan obligation capital
Year of publication: |
2023
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Authors: | Jarrow, Robert A. ; Deventer, Donald R. van |
Published in: |
Journal of risk management in financial institutions. - London : Henry Stewart Publ., ISSN 1752-8887, ZDB-ID 2416788-5. - Vol. 16.2022/2023, 3, p. 237-255
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Subject: | collateralised loan obligations | NAIC capital factors | loss probabilities | credit risk | value-at-risk | Theorie | Theory | Kreditrisiko | Credit risk | Asset-Backed Securities | Asset-backed securities | Risikomaß | Risk measure | Kreditwürdigkeit | Credit rating |
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