The impact of PD-LGD correlation on bank capital adequacy in nongranular loan portfolio1-Reference-Cited by-同舟云学术

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The impact of PD-LGD correlation on bank capital adequacy in nongranular loan portfolio1

Published:2019-01-24 Issue:1 Volume:14 Page:103-120
ISSN:1574-1699
Container-title:Model Assisted Statistics and Applications
language:
Short-container-title:MAS

Author:

Ermolova M.D.¹²,Penikas H.I.¹²

Affiliation:

1. International Laboratory of Decision Choice and Analysis, Department of Applied Economics, National Research University Higher School of Economics, Moscow, Russia

2. Laboratory of Mathematical Modeling of Complex Systems, P.N. Lebedev Physical Institute, Moscow, Russia

Publisher

IOS Press

Subject

Applied Mathematics,Modeling and Simulation,Statistics and Probability

Reference15 articles.

1. The “greatest” carry trade ever? Understanding eurozone bank risks;Acharya,;Journal of Financial Economics,2015

2. The link between default and recovery rates: Theory, empirical evidence, and implications;Altman,;The Journal of Business of the University of Chicago,2005

3. Valuing corporate securities: Some effects of bond indenture provisions;Black,;The Journal of Finance,1976

4. Modeling the loss distribution;Chava,;Management Science,2011

5. PD-LGD correlation study: Evidence from russian corporate bond market;Ermolova,;Model Assisted Statistics and Applications,2017

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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