Loss given default decomposition using mixture distributions of in-default events
Wojciech Starosta
| Year of publication: |
2021
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|---|---|
| Authors: | Starosta, Wojciech |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 292.2021, 3 (1.8.), p. 1187-1199
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| Subject: | Loss given default | Probability of cure | Probability of write-off | Recovery rate | Risk management | Finanzdienstleistung | Financial services | Kreditrisiko | Credit risk | Risikomanagement | Wahrscheinlichkeitsrechnung | Probability theory | Theorie | Theory | Insolvenz | Insolvency | Basler Akkord | Basel Accord | Statistische Verteilung | Statistical distribution | Verlust | Loss |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2020.11.034 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012502433