Estimation of regulatory credit risk models
Year of publication: |
October 2015
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Authors: | Pérez Montes, Carlos |
Published in: |
Journal of financial services research : JFSR. - Dordrecht [u.a.] : Springer Science + Business Media Inc., ISSN 0920-8550, ZDB-ID 1027136-3. - Vol. 48.2015, 2, p. 161-191
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Subject: | Credit risk | Default correlation | Stress test | State space model | Bootstrap | MLE | Theorie | Theory | Kreditrisiko | Bootstrap-Verfahren | Bootstrap approach | Zustandsraummodell | Korrelation | Correlation | Basler Akkord | Basel Accord | Kreditwürdigkeit | Credit rating | Insolvenz | Insolvency |
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