Systematic Effects among Loss Given Defaults and their Implications on Downturn Estimation
Betz, Jennifer
, Kellner, Ralf and Rösch, Daniel
(2018)
Systematic Effects among Loss Given Defaults and their Implications on Downturn Estimation.
European Journal of Operational Research 271, pp. 1113-1144.
Date of publication of this fulltext: 15 Apr 2019 13:29
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| Item type | Article | ||||
| Journal or Publication Title | European Journal of Operational Research | ||||
| Publisher: | ELSEVIER SCIENCE BV | ||||
|---|---|---|---|---|---|
| Place of Publication: | AMSTERDAM | ||||
| Volume: | 271 | ||||
| Page Range: | pp. 1113-1144 | ||||
| Date | 2018 | ||||
| Institutions | Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Statistik und Risikomanagement (Prof. Dr. Rösch) | ||||
| Identification Number |
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| Keywords | EMPIRICAL-EVIDENCE; RECOVERY RATES; GIVEN-DEFAULT; REGRESSION; RISK; LGD; Risk management; Bank loans; Credit risk; Random effects | ||||
| Dewey Decimal Classification | 300 Social sciences > 330 Economics 300 Social sciences > 330 Economics 600 Technology > 650 Management & auxiliary services | ||||
| Status | Published | ||||
| Refereed | Yes, this version has been refereed | ||||
| Created at the University of Regensburg | Yes | ||||
| Item ID | 40080 |
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