Capital Allocation for Portfolio Credit Risk
Paul Kupiec ()
Journal of Financial Services Research, 2007, vol. 32, issue 1, 103-122
Keywords: Economic capital; credit risk internal models; basel II internal ratings approach; G12; G20; G21; G28 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:kap:jfsres:v:32:y:2007:i:1:p:103-122
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