Underperforming performance measures? : a review of measures for loss given default models
Katarzyna (Kasia) Bijak and Lyn C. Thomas
| Year of publication: |
March 2018
|
|---|---|
| Authors: | Bijak, Katarzyna ; Thomas, Lyn C. |
| Published in: |
The journal of risk model validation. - London : Infopro Digital, ISSN 1753-9579, ZDB-ID 2316764-6. - Vol. 12.2018, 1, p. 1-28
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| Subject: | Loss Given Default | model performance measures | error measures | goodness-of-fit measures | correlation measures | Area Under the Receiver Operating Characteristic Curve | Kreditrisiko | Credit risk | Performance-Messung | Performance measurement | Messung | Measurement | Statistischer Fehler | Statistical error | Theorie | Theory | Korrelation | Correlation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JRMV.2018.186 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011869725