Measuring business sector concentration by an infection model
Year of publication: |
2005
|
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Authors: | Düllmann, Klaus |
Institutions: | Deutsche Bundesbank |
Subject: | asset correlation | concentration risk | credit risk | multi-factor model | value-at-risk |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number 2006,03 |
Classification: | C20 - Econometric Methods: Single Equation Models. General ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; G21 - Banks; Other Depository Institutions; Mortgages |
Source: |
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Measuring business sector concentration by an infection model
Düllmann, Klaus, (2006)
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The calibration of the IRB supervisory formula : a case study
Casellina, Simone, (2023)
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Measuring Business Sector Concentration by an Infection Model
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Systemic risk contributions: a credit portfolio approach
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Do specialization benefits outweigh concentration risks in credit portfolios of German banks?
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Evaluation of minimum capital requirements for bank loans to SMEs
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