The Implementation of the Basel II Default Definition by Credit Risk Assessment Systems: An Analysis of Possible Aggregation Procedures

Markus Bingmer () and Laura Auria ()
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Markus Bingmer: Deutsche Bundesbank, Frankfurt, Germany
Laura Auria: Deutsche Bundesbank, Frankfurt, Germany

Global Credit Review (GCR), 2013, vol. 03, issue 01, 43-55

Abstract: No abstract received.

Keywords: Basel II default definition; materiality; probability of default; aggregation of default information (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1142/S2010493613500049

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