A latent variable credit risk model comprising nonlinear dependencies in a sector framework with a stochastically dependent loss given default
Jakob Maciag and Matthias Löderbusch
| Year of publication: |
2017
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|---|---|
| Authors: | Maciag, Jakob ; Löderbusch, Matthias |
| Published in: |
The journal of credit risk : published quarterly by Incisive Media. - London : Infopro Digital, ISSN 1744-6619, ZDB-ID 2170422-3. - Vol. 13.2017, 4, p. 37-74
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| Subject: | copula | nested copula | sector-type credit portfolio models | credit risk | stochastic loss given default (LGD) | Theorie | Theory | Kreditrisiko | Credit risk | Multivariate Verteilung | Multivariate distribution | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection | Basler Akkord | Basel Accord | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Kreditgeschäft | Bank lending |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCR.2017.229 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012041612