An internal default risk model : simulation of default times and recovery rates within the new fundamental review of the trading book framework
Andrea Bertagna, Dragos Deliu, Luca Lopez, Aldo Nassigh, Michele Pioppi, Fabian Reffel, Peter Schaller and Robert Schulze
| Year of publication: |
2020
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|---|---|
| Authors: | Bertagna, Andrea ; Deliu, Dragos ; Lopez, Luca ; Nassigh, Aldo ; Pioppi, Michele ; Reffel, Fabian ; Schaller, Peter ; Schulze, Robert |
| Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 22.2019/2020, 3, p. 21-38
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| Subject: | banking regulation | market risk | Fundamental Review of the Trading Book (FRTB) | default risk charge (DRC) | stochastic recovery rates | rank correlation | Kreditrisiko | Credit risk | Basler Akkord | Basel Accord | Portfolio-Management | Portfolio selection | Insolvenz | Insolvency | Risikomaß | Risk measure | Bankrisiko | Bank risk | Welt | World |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JOR.2020.427 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013177133