Credit portfolio risk - Estimating credit contagion in a standard factor model - State-of-the-art credit risk portfolio models and the new Basel capital Accord consider only symmetric dependencies between borrowers in a portfolio, such as correlations. Recently, asymmetric dependencies have been introduced by Davis & Lo (2001), among others. However, statistical estimation techniques and empirical ...
Year of publication: |
2008
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Authors: | Rösch, Daniel ; Winterfeldt, Birker |
Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 21.2008, 8, p. 78-83
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