An urn-based nonparametric modeling of the dependence between PD and LGD with an application to mortgages
Year of publication: |
2019
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Authors: | Cheng, Dan ; Cirillo, Pasquale |
Subject: | dependence | loss given default | probability of default | urn model | wrong-way risk | Kreditrisiko | Credit risk | Hypothek | Mortgage | Theorie | Theory | Insolvenz | Insolvency | Nichtparametrisches Verfahren | Nonparametric statistics | Statistische Verteilung | Statistical distribution | Wahrscheinlichkeitsrechnung | Probability theory | Basler Akkord | Basel Accord | Modellierung | Scientific modelling |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/risks7030076 [DOI] hdl:10419/257914 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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