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Modeling of commercial real estate credit risks - MaRDI portal

Modeling of commercial real estate credit risks

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Publication:5400667

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DOI10.1080/14697688.2011.592854zbMath1282.91359OpenAlexW2006196068MaRDI QIDQ5400667

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Publication date: 4 March 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2011.592854

zbMATH Keywords

expected loss credit risk bivariate normal distribution concentration risk economic capital probability of default granularity adjustment commercial real estate

Mathematics Subject Classification ID

Credit risk (91G40)

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