Modelling Loss Given Default: A “Point in Time”-Approach

Alfred Hamerle, Michael Knapp and Nicole Wildenauer
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Alfred Hamerle: University of Regensburg
Michael Knapp: University of Regensburg
Nicole Wildenauer: University of Regensburg

Chapter VII. in The Basel II Risk Parameters, 2006, pp 127-142 from Springer

Keywords: Recovery Rate; Macroeconomic Variable; Default Rate; Banking Supervision; Basel Committee (search for similar items in EconPapers)
Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-540-33087-5_7

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DOI: 10.1007/3-540-33087-9_7

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