Measuring portfolio credit risk correctly: why parameter uncertainty matters
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- Tarashev, Nikola, 2010. "Measuring portfolio credit risk correctly: Why parameter uncertainty matters," Journal of Banking & Finance, Elsevier, vol. 34(9), pages 2065-2076, September.
References listed on IDEAS
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- Pflug, Georg Ch. & Pichler, Alois & Wozabal, David, 2012. "The 1/N investment strategy is optimal under high model ambiguity," Journal of Banking & Finance, Elsevier, vol. 36(2), pages 410-417.
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- Tirupam Goel & Ulf Lewrick & Agnė Nikola Tarashev, 2017. "Bank capital allocation under multiple constraints," BIS Working Papers 666, Bank for International Settlements.
- Chollete, Lorán & de la Peña, Victor & Lu, Ching-Chih, 2012. "International diversification: An extreme value approach," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 871-885.
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- Adonis Antoniades & Nikola Tarashev, 2014. "Securitisations: tranching concentrates uncertainty," BIS Quarterly Review, Bank for International Settlements, December.
More about this item
Keywordscorrelated defaults; estimation error; risk management;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-04-25 (All new papers)
- NEP-BAN-2009-04-25 (Banking)
- NEP-RMG-2009-04-25 (Risk Management)
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