Default risk charge : modeling framework for the "Basel" risk measure
Year of publication: |
April 2017
|
---|---|
Authors: | Wilkens, Sascha ; Pedescu, Mirela |
Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 19.2016/2017, 4, p. 23-50
|
Subject: | banking regulation | risk modeling | market risk | Fundamental Review of the Trading Book (FRTB) | default risk charge (DRC) | Finanzdienstleistung | Financial services | Kreditrisiko | Credit risk | Basler Akkord | Basel Accord | Bankrisiko | Bank risk | Risikomanagement | Risk management | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Risikoprämie | Risk premium |
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