Stadtwald
Saarbrucken, Saarland D-66123
Germany
Saarland University
p-value; t statistic; empirical finance; CAPM; Bayesian statistics
credit risk, bankruptcy, resolution of financial distress, time to resolution, resolution bias
Model risk, Capital requirements, Value-at-Risk, Expected Shortfall
bank loans, default resolution time, credit risk, systematic effects, latent factors
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extreme value theory, model risk, capital requirements, value-at-risk, expected shortfall
Extreme Value Theory, Model Risk, Capital Requirements, Value-at-Risk, Expected Shortfall
