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Resolution of defaulted loan contracts - An empirical analysis of default resolution time and loss given default

URN to cite this document:
urn:nbn:de:bvb:355-epub-376000
DOI to cite this document:
10.5283/epub.37600
Betz, Jennifer
Date of publication of this fulltext: 16 Aug 2018 07:16


Abstract (English)

This cumulative doctoral thesis contributes to the broad literature on credit risk management and regulation. Following Basel II / III, financial institutions are allowed to use own estimates of central credit risk parameters to calculate their capital needs. Besides the probability of default (PD) and the exposure at default (EAD), the loss given default (LGD) is in the focus of modeling efforts ...

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Translation of the abstract (German)

Diese Doktorarbeit liefert einen Beitrag zur umfangreichen Literatur des Kreditrisikomanagements und der Kreditrisikoregulierung. Nach Basel II / III ist es Finanzinstitutionen gestattet ihre Eigenkapitalunterlegung basierend auf eigenen Schätzungen für die zentralen Kreditrisikoparameter zu kalkulieren. Neben der Ausfallwahrscheinlichkeit (probability of default, PD) und dem ausstehenden ...

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