A generic framework for stochastic loss-given-default (Q629521)
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scientific article; zbMATH DE number 5863156
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A generic framework for stochastic loss-given-default |
scientific article; zbMATH DE number 5863156 |
Statements
A generic framework for stochastic loss-given-default (English)
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9 March 2011
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loss-given-default
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Lévy process
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factor model
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Basel II
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0.86345816
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0.8610906
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0.8499153
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0.84982514
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0.84780145
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0.8461907
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