Weibach, Rafael; Sibbertsen, Philipp - Universität <Hannover> / Wirtschaftswissenschaftliche … - 2006
Lending is associated with credit risk. Modelling the loss stochastically,the cost of credit risk is the expected loss. In credit business the probabilitythat the debtor will default in payments within one year, often is the onlyreliable quantitative parameter. Modelling the time to default as...