Considering the dependence between the credit loss severity and the probability of default in the estimate of portfolio credit risk : an experimental analysis
Year of publication: |
2014
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Authors: | Di Clemente, Annalisa |
Published in: |
Studi economici : rivista quadrimestrale. - Napoli : Fac., ISSN 0039-2928, ZDB-ID 428979-1. - Vol. 68.2013, 1, p. 5-24
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Subject: | Loss Given Default | Probability of Default | Expected Shortfall | Value-at Risk | Monte Carlo Simulation | Conditional Beta Function | Kreditrisiko | Credit risk | Finanzdienstleistung | Financial services | Risikomaß | Risk measure | Insolvenz | Insolvency | Portfolio-Management | Portfolio selection | Monte-Carlo-Simulation | Monte Carlo simulation | Statistische Verteilung | Statistical distribution | Wahrscheinlichkeitsrechnung | Probability theory | Theorie | Theory | Risikomanagement | Risk management | Verlust | Loss | Basler Akkord | Basel Accord |
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