Risk Modeling and Capital: Credit Risk (Loans)

Johannes Wernz

Chapter Chapter 4 in Bank Management and Control, 2020, pp 39-70 from Springer

Abstract: Abstract All the relevant measures (expected losses and provisions, economic capital, regulatory capital, and interest for pricing) can be derived from one or two handful of parameters (discussed in the following sections).

Date: 2020
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DOI: 10.1007/978-3-030-42866-2_4

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