Out-of-Time Validation of Default Probabilities within the Basel Accord: A Comparative Study-Reference-Cited by-同舟云学术

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Out-of-Time Validation of Default Probabilities within the Basel Accord: A Comparative Study

Published:2017 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Bllmke Oliver

Publisher

Elsevier BV

Reference39 articles.

1. Extensions to the Gaussian copula: random recovery and random factor loadings;L B G Sidenius ; Andersen;Journal of Credit Risk,2004

2. PD Estimates for Basel II;L Balthazar;Risk,2004

3. The New Basel Capital Accord, International Convergence of Capital Measurement and Capital Standards: A Revised Framework. Bank for International Settlements;Basel Committee on Bank Supervision (BCBS),2004

4. Validation of Default Probabilities;A Bl�chlinger;Journal of Financial and Quantitative Analysis,2012

Cited by 3 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Proving prediction prudence;Data Science in Finance and Economics;2022

2. Proving Prediction Prudence;SSRN Electronic Journal;2020

3. Asset Correlation, Diversification and the Basel Accord: A Comparative Study;SSRN Electronic Journal;2017

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