Asset correlations and credit portfolio risk: an empirical analysis
Year of publication: |
2007
|
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Authors: | Düllmann, Klaus ; Scheicher, Martin ; Schmieder, Christian |
Publisher: |
Frankfurt a. M. : Deutsche Bundesbank |
Subject: | Kreditrisiko | Value at Risk | Portfolio-Management | Buchwert | Korrelation | Europa | Asset correlations | sector concentration | credit portfolio risk |
Series: | Discussion Paper Series 2 ; 2007,13 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 54627062X [GVK] hdl:10419/19772 [Handle] RePEc:zbw:bubdp2:6352 [RePEc] |
Classification: | C15 - Statistical Simulation Methods; Monte Carlo Methods ; G21 - Banks; Other Depository Institutions; Mortgages |
Source: |
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Asset correlations and credit portfolio risk: an empirical analysis
Düllmann, Klaus, (2007)
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Asset correlations and credit portfolio risk : an empirical analysis
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Asset correlations and credit portfolio risk: an empirical analysis
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