A coherent economic framework to model correlations between PD, LGD and EaD, and its applications in EaD modelling and IFRS-9
Peter Miu, Bogie Ozdemir
| Year of publication: |
2023
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|---|---|
| Authors: | Miu, Peter ; Ozdemir, Bogie |
| Published in: |
Journal of risk management in financial institutions. - London : Henry Stewart Publ., ISSN 1752-8887, ZDB-ID 2416788-5. - Vol. 16.2022/2023, 1, p. 52-78
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| Subject: | IFRS-9 | PD-LGD-EaD correlations | EaD modelling | CECL | Basel | credit VaR | Basler Akkord | Basel Accord | Kreditrisiko | Credit risk | Korrelation | Correlation | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014293052