An axiomatic approach to default risk and model uncertainty in rating systems
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Publication:6146435
DOI10.1016/j.jmateco.2023.102896arXiv2303.08217OpenAlexW4386760009MaRDI QIDQ6146435
Publication date: 5 February 2024
Published in: Journal of Mathematical Economics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2303.08217
model uncertaintyvalue at riskChoquet capacityprobability of defaultrisk-weighted assetsdefault risk measure
Statistical methods; risk measures (91G70) Financial networks (including contagion, systemic risk, regulation) (91G45)
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