The Merton Approach to Estimating Loss Given Default: Application to the Czech Republic
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- Siemsen, Thomas & Vilsmeier, Johannes, 2017. "A stress test framework for the German residential mortgage market: Methodology and application," Discussion Papers 37/2017, Deutsche Bundesbank.
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KeywordsCredit risk; loss given default; structural models.;
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-07-10 (All new papers)
- NEP-RMG-2010-07-10 (Risk Management)
- NEP-TRA-2010-07-10 (Transition Economics)
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