Narrow search
Showing 31 - 40 of 86,384
Cover Image
Micro-assessment of macroprudential borrower-based measures in Lithuania
Dirma, Mantas; Karmelavičius, Jaunius - 2023
Persistent link: https://www.econbiz.de/10013502304
Cover Image
A prudent loss given default estimation for mortgages. II
Ozdemir, Bogie; Huang, Emma - In: The journal of risk model validation 15 (2021) 4, pp. 1-27
Persistent link: https://www.econbiz.de/10013173359
Cover Image
Basel regulatory capital formula revised
Yang, Yimin; Wu, Min - In: International journal of financial engineering 8 (2021) 3, pp. 1-19
Persistent link: https://www.econbiz.de/10012655060
Cover Image
Forecasting probabilities of default and loss rates given default in the presence of selection
Rösch, Daniel; Scheule, Harald - In: Journal of the Operational Research Society : OR 65 (2014) 3, pp. 393-407
Persistent link: https://www.econbiz.de/10010251696
Cover Image
Aggregation of incidence and intensity risk variables to achieve reconciliation
Hunt, Clive; Taplin, Ross - In: Risks : open access journal 7 (2019) 4/107, pp. 1-14
product of exposure at default (EAD), probability of default (PD), and loss given default (LGD) of the loan. Simple weighted … (by EAD) means of PD and LGD are intuitive summaries however they do not satisfy a reconciliation property whereby their …, especially when trying to ascertain whether changes in EAD, PD, or LGD are responsible for a change in EL. We propose means for …
Persistent link: https://www.econbiz.de/10012127917
Cover Image
Key variables and characteristics of loan loss given default : empirical evidence from 28 provinces in China
Zhao, Zhichong; Colombage, Sisira; Chi, Guotai - In: Emerging markets, finance & trade : a journal of the … 56 (2020) 11, pp. 2443-2460
Persistent link: https://www.econbiz.de/10012262816
Cover Image
Considering the dependence between the credit loss severity and the probability of default in the estimate of portfolio credit risk : an experimental analysis
Di Clemente, Annalisa - In: Studi economici : rivista quadrimestrale 68 (2013) 1, pp. 5-24
Persistent link: https://www.econbiz.de/10010389432
Cover Image
Bayesian loss given default estimation for European sovereign bonds
Jobst, Rainer; Kellner, Ralf; Rösch, Daniel - In: International journal of forecasting 36 (2020) 3, pp. 1073-1091
Persistent link: https://www.econbiz.de/10012497723
Cover Image
The impact of systemic loss given default on economic capital
Van Dyk, Jenni; Lange, Jaun; Van Vuuren, Gary - In: International business and economics research journal 16 (2017) 2, pp. 87-100
Persistent link: https://www.econbiz.de/10011701563