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Credit risk in general equilibrium

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Credit risk models used in quantitative risk management treat credit risk analysis conceptually like a single person decision problem. From this perspective an exogenous source of risk drives the fundamental parameters of credit risk: probability of default, exposure at default and the recovery rate...

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Main Authors: Eichberger, Jürgen (Author) , Rheinberger, Klaus (Author) , Summer, Martin (Author)
Format: Book/Monograph Working Paper
Language:English
Published: Wien Österr. Nationalbank 2011
Series:Working paper 172
In: Working paper (172)

Subjects:
Arbeitspapier
Graue Literatur
Kreditrisiko
Regulierung
Bank
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Author Notes:Jürgen Eichberger; Klaus Rheinberger; Martin Summer
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Credit risk in general equilibrium by Eichberger, Jürgen (Author) , Rheinberger, Klaus (Author) , Summer, Martin (Author) ,


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Credit risk in general equilibrium by Eichberger, Jürgen (Author) , Rheinberger, Klaus (Author) , Summer, Martin (Author) ,


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Credit risk in general equilibrium by Eichberger, Jürgen (Author) , Rheinberger, Klaus (Author) , Summer, Martin (Author) ,


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Credit risk in general equilibrium by Eichberger, Jürgen (Author) , Rheinberger, Klaus (Author) , Summer, Martin (Author) ,


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