Credit risk measures and the estimation error in the ASRF model under the Basel II IRB approach (Q2684052)
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scientific article; zbMATH DE number 7654026
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| English | Credit risk measures and the estimation error in the ASRF model under the Basel II IRB approach |
scientific article; zbMATH DE number 7654026 |
Statements
Credit risk measures and the estimation error in the ASRF model under the Basel II IRB approach (English)
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16 February 2023
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regulation
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Basel 2
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margin of conservatism
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value-at-risk
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0.7768506407737732
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0.7497886419296265
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0.7430964112281799
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0.7276020050048828
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0.7252167463302612
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