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Forecasting Credit Portfolio Risk
Hamerle, Alfred, Liebig, Thilo and Scheule, Harald (2004) Forecasting Credit Portfolio Risk. Discussion paper / Deutsche Bundesbank: Series 2, Banking and financial studies 2004,1, Dt. Bundesbank, Frankfurt am Main.Date of publication of this fulltext: 05 Aug 2009 13:58
Monograph
DOI to cite this document: 10.5283/epub.8235
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Details
| Item type | Monograph (UNSPECIFIED) |
| ISBN | 3–935821–82–4 |
| Publisher: | Dt. Bundesbank |
|---|---|
| Place of Publication: | Frankfurt am Main |
| Other Series: | Discussion paper / Deutsche Bundesbank: Series 2, Banking and financial studies |
| Volume: | 2004,1 |
| Date | 2004 |
| Additional Information (public) | Elektronische Ressource |
| 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 | asset correlation, bank regulation, Basel II, credit risk, default correlation, default probability, logit model, probit model, time-discrete hazard rate |
| Dewey Decimal Classification | 300 Social sciences > 330 Economics 300 Social sciences > 310 General statistics |
| Status | Published |
| Refereed | Yes, this version has been refereed |
| Created at the University of Regensburg | Yes |
| URN of the UB Regensburg | urn:nbn:de:bvb:355-epub-82357 |
| Item ID | 8235 |
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