Credit risk in general equilibrium
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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| Hauptverfasser: | , , |
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| Dokumenttyp: | Buch/Monographie Arbeitspapier |
| Sprache: | Englisch |
| Veröffentlicht: |
Wien
Österr. Nationalbank
2011
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| Schriftenreihe: | Working paper
172 |
| In: |
Working paper (172)
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| Schlagworte: | |
| Online-Zugang: |
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| Verfasserangaben: | Jürgen Eichberger; Klaus Rheinberger; Martin Summer |
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