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Homeen-gbStochastic loss given default and exposure at default in a structural model of portfolio credit riskThe authors develop a factor-type latent variable model for portfolio credit risk that accounts for stochastically dependent probability of default (PD), loss given default (LGD) and exposure at default (EAD) at both the systematic and borrower specific levels.
https://www.risk.net/journal-of-credit-risk/3937681/stochastic-loss-given-default-and-exposure-at-default-in-a-structural-model-of-portfolio-credit-risk
https://www.risk.net/journal-of-credit-risk/3937681/stochastic-loss-given-default-and-exposure-at-default-in-a-structural-model-of-portfolio-credit-risk
Mon, 27 Feb 2017 10:05:47 +0000