The effects of estimation error on measures of portfolio credit risk
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Bibliographic Info
Article provided by Elsevier in its journal Journal of Banking & Finance.
Volume (Year): 27 (2003)
Issue (Month): 8 (August)
Pages: 1427-1453
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Handle: RePEc:eee:jbfina:v:27:y:2003:i:8:p:1427-1453
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Web page: http://www.elsevier.com/locate/jbf
For corrections or technical questions regarding this item, or to correct its listing, contact: (Jeroen Loos).
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Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.Cited by:
- Bandyopadhyay, Arindam, 2010. "Understanding the Effect of Concentration Risk in the Banks’ Credit Portfolio: Indian Cases," MPRA Paper 24822, University Library of Munich, Germany.
- Henry Dannenberg, 2011. "The Importance of Estimation Uncertainty in a Multi-Rating Class Loan Portfolio," IWH Discussion Papers 11, Halle Institute for Economic Research.
- Gürtler, Marc & Heithecker, Dirk, 2005. "Systematic credit cycle risk of financial collaterals: Modelling and evidence," Working Papers FW15V2, Technische Universität Braunschweig, Institute of Finance.
- Güttler, André & Raupach, Peter, 2008. "The impact of downward rating momentum on credit portfolio risk," Discussion Paper Series 2: Banking and Financial Studies 2008,16, Deutsche Bundesbank, Research Centre.
- Nikola Tarashev & Haibin Zhu, 2008. "Specification and Calibration Errors in Measures of Portfolio Credit Risk: The Case of the ASRF Model," International Journal of Central Banking, International Journal of Central Banking, vol. 4(2), pages 129-173, June.
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