Provisioning against borrowers default risk
Year of publication: |
2016
|
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Authors: | Nichil, Geoffrey ; Vallois, Pierre |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 66.2016, p. 29-43
|
Subject: | Borrower default risk | Individual stochastic provisioning | Poisson point process | Geometric Brownian motion | Time of default | Quantile | Theorie | Theory | Stochastischer Prozess | Stochastic process | Kreditrisiko | Credit risk | Insolvenz | Insolvency |
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