Calculating incremental risk charges: The effect of the liquidity horizon
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References listed on IDEAS
- Robert A. Jarrow & David Lando & Stuart M. Turnbull, 2008.
"A Markov Model for the Term Structure of Credit Risk Spreads,"
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World Scientific Publishing Co. Pte. Ltd..
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More about this item
Keywordscredit risk; incremental risk charge; liquidity horizon; Basel III;
- C00 - Mathematical and Quantitative Methods - - General - - - General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-06-25 (All new papers)
- NEP-REG-2011-06-25 (Regulation)
- NEP-RMG-2011-06-25 (Risk Management)
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