JUSTIFICATION OF PER-UNIT RISK CAPITAL ALLOCATION IN PORTFOLIO CREDIT RISK MODELS
Year of publication: |
2014
|
---|---|
Authors: | DORFLEITNER, GREGOR ; PFISTER, TAMARA |
Published in: |
International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 17.2014, 06, p. 1450039-1
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | Risk capital | capital allocation | risk contribution | per-unit risk | credit risk |
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