The Calculus of Expected Loss: Backtesting Parameter-Based Expected Loss in a Basel II Framework
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References listed on IDEAS
- Simone Farinelli & Mykhaylo Shkolnikov, 2012. "Two Models of Stochastic Loss Given Default," Papers 1205.5369, arXiv.org, revised May 2012.
- Edward I. Altman & Brooks Brady & Andrea Resti & Andrea Sironi, 2005. "The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications," The Journal of Business, University of Chicago Press, vol. 78(6), pages 2203-2228, November.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-12-06 (All new papers)
- NEP-BAN-2012-12-06 (Banking)
- NEP-RMG-2012-12-06 (Risk Management)
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