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Bayesian Loss Given Default Estimation for European Sovereign Bonds
Jobst, Rainer, Kellner, Ralf and Rösch, Daniel (2020) Bayesian Loss Given Default Estimation for European Sovereign Bonds. International Journal of Forecasting 36, pp. 1073-1091.Date of publication of this fulltext: 19 Dec 2019 10:46
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| Item type | Article | ||||
| Journal or Publication Title | International Journal of Forecasting | ||||
| Publisher: | Elsevier | ||||
|---|---|---|---|---|---|
| Open Access Type: | No Open Access | ||||
| Place of Publication: | AMSTERDAM | ||||
| Volume: | 36 | ||||
| Page Range: | pp. 1073-1091 | ||||
| Date | 2020 | ||||
| Institutions | Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Statistik und Risikomanagement (Prof. Dr. Rösch) | ||||
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| Keywords | LOAN RECOVERY RATES; CREDIT RISK; BANK LOANS; REGRESSION; BETA; Loss given default; Sovereign bonds; Bayesian estimation; Probability of default; Credit risk | ||||
| Dewey Decimal Classification | 600 Technology > 650 Management & auxiliary services 300 Social sciences > 330 Economics | ||||
| Status | Published | ||||
| Refereed | Yes, this version has been refereed | ||||
| Created at the University of Regensburg | Yes | ||||
| Item ID | 41309 |
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