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Incorporating prediction and estimation risk in point-in-time credit portfolio models
Hamerle, Alfred, Knapp, Michael, Liebig, Thilo and Wildenauer, Nicole (2005) Incorporating prediction and estimation risk in point-in-time credit portfolio models. Deutsche Bundesbank: Discussion Paper: Series 2: Banking and Financial Studies 13/2005, Working Paper, Deutsche Bundesbank, Frankfurt am Main.Date of publication of this fulltext: 05 Aug 2009 13:23
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| Item type | Monograph (Working Paper) |
| ISBN | 3–86558–101–3 |
| Publisher: | Deutsche Bundesbank |
|---|---|
| Place of Publication: | Frankfurt am Main |
| Other Series: | Deutsche Bundesbank: Discussion Paper: Series 2: Banking and Financial Studies |
| Volume: | 13/2005 |
| Number of Pages: | 34 |
| Date | 2005 |
| Institutions | Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Entpflichtete oder im Ruhestand befindliche Professoren > Lehrstuhl für Statistik (Prof. Dr. Alfred Hamerle) |
| Interdisciplinary Subject Network | Immobilien- und Kapitalmärkte |
| Keywords | probability of default; PD; credit risk; default correlation; asset correlation; point in time; value at risk; estimation risk; credit portfolio models; credit risk management |
| Dewey Decimal Classification | 300 Social sciences > 330 Economics |
| Status | Published |
| Refereed | Unknown |
| Created at the University of Regensburg | Unknown |
| Item ID | 403 |
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