Loss given default decomposition using mixture distributions of in-default events
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 | Kreditrisiko | Credit risk | Risikomanagement | Wahrscheinlichkeitsrechnung | Probability theory | Basler Akkord | Basel Accord | Statistische Verteilung | Statistical distribution | Theorie | Theory | Insolvenz | Insolvency |
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