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Credit Risk Factor Modeling and the Basel Ii IRB Approach · Study

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PreprintCredit Risk Factor Modeling and the Basel Ii IRB Approach

Alfred Hamerle2016

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Preprintgreen2016

Credit Risk Factor Modeling and the Basel Ii IRB Approach

Alfred Hamerle · Thilo Liebig · Daniel Rösch

30 citations·0/0 files stored·SSRN Electronic Journal

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Credit Risk and Financial Regulations Banking stability, regulation, efficiency Financial Risk and Volatility Modeling

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References

1973The Pricing of Options and Corporate Liabilities 1992The Cross-Section of Expected Stock Returns 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*1986Economic Forces and the Stock Market 1999Modeling Term Structures of Defaultable Bonds 1976VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS 2001The Determinants of Credit Spread Changes 1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt

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Details

Year2016

Typepreprint

Published2016-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations30

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.2139/ssrn.2793952

openalex_workW1541179660

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