The measure of model risk in credit capital requirements
Year of publication: |
2022
|
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Authors: | Baviera, Roberto |
Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 44.2022, p. 1-9
|
Subject: | estimation risk | IRB approach | LGD-PD dependency | Regulatory capital | scaling factor | VaR | Theorie | Theory | Basler Akkord | Basel Accord | Kreditrisiko | Credit risk | Messung | Measurement | Risikomaß | Risk measure | Bankrisiko | Bank risk | Portfolio-Management | Portfolio selection | Risiko | Risk |
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