The impact of downward rating momentum on credit portfolio risk
Year of publication: |
2008
|
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Authors: | Güttler, André ; Raupach, Peter |
Institutions: | Deutsche Bundesbank |
Subject: | Rating drift | Downward momentum | Credit portfolio risk | Value-at-Risk |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number 2008,16 |
Classification: | G32 - Financing Policy; Capital and Ownership Structure ; G24 - Investment Banking; Venture Capital; Brokerage ; C41 - Duration Analysis |
Source: |
-
The impact of downward rating momentum on credit portfolio risk
Güttler, André, (2008)
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The Impact of Downward Rating Momentum
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