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Basel II im Wettstreit internationaler Regulierungsinteressen : Auswirkungen auf Transmission und Wettbewerb

Gerhardt, Sybille E. - 2005 - 1. Aufl.

Persistent link: https://www.econbiz.de/10002795412

The Basel II Risk Parameters : Estimation, Validation, Stress Testing - with Applications to Loan Risk Management

Engelmann, Bernd - 2011

Statistical Methods to Develop Rating Models -- Estimation of a Rating Model for Corporate Exposures -- The Shadow … Rating Approach - Experience from Banking Practice -- Estimating Probabilities of Default for Low Default Portfolios … -- Possibilities of Estimating Exposures -- EAD Estimates for Facilities with Explicit Limits -- Validation of Banks' Internal Rating …

Persistent link: https://www.econbiz.de/10014015277

The Basel II risk parameters : estimation, validation, stress testing ; with applications to loan risk management

Engelmann, Bernd (ed.); Rauhmeier, Robert (contributor) - 2011 - 2. ed.

Persistent link: https://www.econbiz.de/10008654848

Recovery risk in credit default swap premia

Schläfer, Timo - 2011 - 1. ed.

Persistent link: https://www.econbiz.de/10008991625

Recovery Risk in Credit Default Swap Premia

Schläfer, Timo - 2011

The finance literature looks at a number of factors to explain risk premia in corporate debt, such as liquidity effects, jump-to-default risk, and contagion risk. Stochastic recovery rates as a source of systematic risk have not received much attention so far, most likely due to the difficulties...