Forecasting Credit Portfolio Risk
Year of publication: |
2004
|
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Authors: | Hamerle, Alfred ; Liebig, Thilo ; Scheule, Harald |
Institutions: | Deutsche Bundesbank |
Subject: | asset correlation | bank regulation | Basel II | credit risk | default correlation | default probability | logit model | probit model |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number 2004,01 |
Classification: | C41 - Duration Analysis ; G21 - Banks; Other Depository Institutions; Mortgages ; C23 - Models with Panel Data |
Source: |
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Forecasting Credit Portfolio Risk
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