Survival analysis in LGD modeling
Year of publication: |
2010
|
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Authors: | Witzany, Jiří ; Rychnovský, Michael ; Charamza, Pavel |
Publisher: |
Prague : Charles University in Prague, Institute of Economic Studies (IES) |
Subject: | Kreditrisiko | Basler Akkord | Statistische Methode | credit risk | recovery rate | loss given default | correlation | regulatory capital |
Series: | IES Working Paper ; 2/2010 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 625128974 [GVK] hdl:10419/83464 [Handle] |
Classification: | G21 - Banks; Other Depository Institutions; Mortgages ; G28 - Government Policy and Regulation ; C14 - Semiparametric and Nonparametric Methods |
Source: |
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Witzany, Jiří, (2009)
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Survival analysis in LGD modeling
Witzany, Jiří, (2012)
-
Unexpected recovery risk and LGD discount rate determination
Witzany, Jiří, (2009)
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Survival analysis in LGD modeling
Witzany, Jiří, (2010)
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Survival Analysis in LGD Modeling
Witzany, Jiří, (2012)
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Survival Analysis in LGD Modeling
Witzany, Jiří, (2010)
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