Analytical solutions for expected loss and standard deviation of loss with an additional loan

DOI10.1007/s10690-014-9196-5zbMath1368.91180OpenAlexW1998463274MaRDI QIDQ2013294

Satoshi Yamashita, Toshinao Yoshiba

Publication date: 17 August 2017

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-014-9196-5

zbMATH Keywords

loss given default (LGD)expected loss (EL)exposure at default (ead)probability of default (PD)

Mathematics Subject Classification ID

Credit risk (91G40)

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Analytical solutions for expected loss and standard deviation of loss with an additional loan

Cites Work

• Analytical solutions for expected loss and standard deviation of loss with an additional loan
• Computation of the Bivariate Normal Integral