Auswirkungen unterschiedlicher Assetkorrelationen in Mehr-Sektoren-Kreditportfoliomodellen
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More about this item
KeywordsAusfallwahrscheinlichkeit ; Kreditrisiko; Probability of Default ; PD ; Assetkorrelation ; Ausfallkorrelation ; Kreditrisikomanagement; Probability of Default ; asset correlation ; default correlation ; credit risk ; credit risk management;
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2005-10-22 (All new papers)
- NEP-FIN-2005-10-22 (Finance)
- NEP-FMK-2005-10-22 (Financial Markets)
- NEP-RMG-2005-10-22 (Risk Management)
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