Latent Variable Approach to Modelling Dependence of Credit Risks: Application to French Firms and Implications for Regulatory Capital-Reference-Cited by-同舟云学术

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Latent Variable Approach to Modelling Dependence of Credit Risks: Application to French Firms and Implications for Regulatory Capital

Published:2005 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Foulcher Sandra,Gourieroux Christian,Tiomo André

Publisher

Elsevier BV

Reference32 articles.

1. Measuring Default Correlation;R Bahar;Risk,2001

2. Ratings Migration and the Business Cycle, with Applications to Credit Portfolio Stress Testing;A Bangia;Journal of Banking and Finance,2002

3. Les scores de la Banque de France : m�thodes, r�sultats, application;M Bardos;Banque de France Basel Committee on Banking Supervision,2003

4. Modifications to the Capital Treatment for Expected and Unexpected Credit Losses;Basel Committee on Banking Supervision,2004

5. Moody's Rating Migration and Credit Quality Correlation 1920-1996 -Special Comment;L Carty;Moody's Investor Service,1997

Cited by 1 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. History of the Basel internal-ratings-based (IRB) credit risk regulation;Model Assisted Statistics and Applications;2020-03-23

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