Regulatory capital modeling for credit risk (Q2947348)
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scientific article
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| default for all languages | No label defined |
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| English | Regulatory capital modeling for credit risk |
scientific article |
Statements
REGULATORY CAPITAL MODELING FOR CREDIT RISK (English)
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22 September 2015
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credit risk
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regulatory capital
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internal ratings-based (IRB) approach
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asymptotic single risk factor (ASRF) model
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credit value-at-risk (VaR)
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one-factor Gaussian copula
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Student's \(t\) copula
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0.8092001080513
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0.8037044405937195
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0.7896507978439331
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0.7780207395553589
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