Florian Kaposty

University of Muenster - Finance Center Muenster

Universitatsstr. 14-16

Muenster, 48143

Germany

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Stochastic Loss Given Default and Exposure at Default in a Structural Model of Portfolio Credit Risk

Journal of Credit Risk, Vol. 13, No. 1, 2017
Number of pages: 30 Posted: 28 Feb 2017
Florian Kaposty, Matthias Löderbusch and Jakob Maciag
University of Muenster - Finance Center Muenster, University of Muenster - Finance Center Muenster and zeb.rolfes.schierenbeck.associates GmbH
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Abstract:

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portfolio credit risk model; asymptotic single risk factor (ASRF) model; downturn loss; given default (LGD); downturn exposure at default (EAD); correlation structure