Bayesian loss given default estimation for European sovereign bonds
Rainer Jobst, Ralf Kellner, Daniel Rösch
| Year of publication: |
2020
|
|---|---|
| Authors: | Jobst, Rainer ; Kellner, Ralf ; Rösch, Daniel |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 36.2020, 3, p. 1073-1091
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| Subject: | Loss given default | Sovereign bonds | Bayesian estimation | Probability of default | Credit risk | Kreditrisiko | Öffentliche Anleihe | Public bond | Bayes-Statistik | Bayesian inference | Schätzung | Estimation | Insolvenz | Insolvency | Prognoseverfahren | Forecasting model | Risikoprämie | Risk premium | Basler Akkord | Basel Accord | Länderrisiko | Country risk | Anleihe | Bond |
| Description of contents: | Description [doi.org] |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | Erratum enthalten in: International journal of forecasting, Volume 37, issue 3 (July/September 2021), Seite 1321-1322 |
| Other identifiers: | 10.1016/j.ijforecast.2019.11.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012497723