A Value-At-Risk Calculation of Required Reserves for Credit Risk in Corporate Lending Portfolios

DOI10.1080/10920277.1999.10595802zbMath1082.91522OpenAlexW2086654542MaRDI QIDQ5718364

Ronan B. O'Connor, Robert Reck, James F. Golden

Publication date: 13 January 2006

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.1999.10595802

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Corporate finance (dividends, real options, etc.) (91G50)

Cites Work

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