Credit risk measures and the estimation error in the ASRF model under the Basel II IRB approach

DOI10.1016/J.CNSNS.2022.106977MaRDI QIDQ2684052zbMATH OpenOpenAlexFDO

Authors Simone Casellina, Mariacristina Uberti, Simone Landini

Publication date 16 February 2023

Published in Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cnsns.2022.106977

zbMATH Keywords

Basel 2margin of conservatismregulationvalue-at-risk

Mathematics Subject Classification ID

Credit risk (91G40) Statistical methods; risk measures (91G70)

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Cites work

• Backtesting Parametric Value-at-Risk With Estimation Risk
• Credit risk migration rates modeling as open systems: a micro-simulation approach
• Credit-Risk Modelling
• Estimation-adjusted VaR
• scientific article; zbMATH DE number 5723836 (Why is no real title available?)

Cited in

(3)

• Loan pricing under estimation risk
• Statistical models for the Basel II internal ratings-based approach to measuring credit risk of retail products
• Credit risk for large portfolios of green and brown loans: extending the ASRF model

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