REGULATORY CAPITAL MODELING FOR CREDIT RISK
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Publication:2947348
DOI10.1142/S021902491550034XzbMath1337.91125arXiv1412.1183OpenAlexW3103834646MaRDI QIDQ2947348
Publication date: 22 September 2015
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1412.1183
credit riskone-factor Gaussian copularegulatory capitalasymptotic single risk factor (ASRF) modelcredit value-at-risk (VaR)internal ratings-based (IRB) approachStudent's \(t\) copula
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Credit risk (91G40)
Related Items (7)
Quantifying credit portfolio losses under multi-factor models ⋮ State dependent correlations in the Vasicek default model ⋮ MODELING LIFETIME EXPECTED CREDIT LOSSES ON BANK LOANS ⋮ Robust and consistent estimation of generators in credit risk ⋮ Model-free computation of risk contributions in credit portfolios ⋮ Efficient algorithms for calculating risk measures and risk contributions in copula credit risk models ⋮ Metamodel of a Large Credit Risk Portfolio in the Gaussian Copula Model
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