Modelling and calibration errors in measures of portfolio credit risk
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References listed on IDEAS
- Lütkebohmert, Eva & Gordy, Michael B., 2007. "Granularity adjustment for Basel II," Discussion Paper Series 2: Banking and Financial Studies 2007,01, Deutsche Bundesbank, Research Centre.
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- Marcin Łupiński, 2013. "Statistical Data and Models Used for Analysis and Management of Financial Stability at the Macro Level," Ekonomia journal, Faculty of Economic Sciences, University of Warsaw, vol. 32.
- M. Dietsch & K. Düllmann & H. Fraisse & P. Koziol & C. Ott, 2016.
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More about this item
KeywordsCorrelated defaults; value at risk; multiple common factors; granularity; estimation error; tail dependence; bank capital;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2007-08-14 (All new papers)
- NEP-BAN-2007-08-14 (Banking)
- NEP-RMG-2007-08-14 (Risk Management)
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