A copula sample selection model for predicting multi-year LGDs and Lifetime Expected Losses
Steffen Krüger, Toni Oehme, Daniel Rösch, Harald Scheule
| Year of publication: |
2018
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|---|---|
| Authors: | Krüger, Steffen ; Oehme, Toni ; Rösch, Daniel ; Scheule, Harald |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 47.2018, p. 246-262
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| Subject: | Continuous time-to-default | IFRS 9 and CECL | Lifetime Expected Loss | Loss Given Default | Multi-period | Term structure | Kreditrisiko | Credit risk | Theorie | Theory | IFRS | Erwartungsbildung | Expectation formation | Multivariate Verteilung | Multivariate distribution | Prognoseverfahren | Forecasting model | Stichprobenerhebung | Sampling | Verlust | Loss | Zinsstruktur | Yield curve | Statistische Verteilung | Statistical distribution |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jempfin.2018.04.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012103459