Failure of saddle-point method in the presence of double defaults
Year of publication: |
2009
|
---|---|
Authors: | Lütkebohmert, Eva |
Publisher: |
Bonn : University of Bonn, Bonn Graduate School of Economics (BGSE) |
Subject: | Kreditrisiko | Messung | Kreditwürdigkeit | Heuristisches Verfahren | Basel II | Theorie | analytical approximation | double default | granularity adjustment | IRB approach | saddle-point approximation |
Series: | Bonn Econ Discussion Papers ; 19/2009 |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 607072318 [GVK] hdl:10419/37029 [Handle] RePEc:zbw:bonedp:192009 [RePEc] |
Classification: | G31 - Capital Budgeting; Investment Policy ; G28 - Government Policy and Regulation |
Source: |
-
Treatment of Double Default Effects within the Granularity Adjustment for Basel II
Ebert, Sebastian, (2009)
-
FAILURE OF SADDLE-POINT METHOD IN THE PRESENCE OF DOUBLE DEFAULTS
Lütkebohmert, Eva, (2009)
-
Ebert, Sebastian, (2009)
- More ...
-
Concentration risk in credit portfolios : with 19 tables
Lütkebohmert-Holtz, Eva, (2009)
-
Granularity adjustment for Basel II
Lütkebohmert, Eva, (2007)
-
Treatment of Double Default Effects within the Granularity Adjustment for Basel II
Ebert, Sebastian, (2009)
- More ...