Enrique Batiz-Zuk

Banco de México

Financial Specialist, Directorate of Financial System Risk Analysis

Av. 5 de Mayo No. 6

Col. Centro, Deleg. Cuauhtémoc

Ciudad de México, DF, 06059

Mexico

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Scholarly Papers (1)

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The Robustness of Estimators in Structural Credit Loss Distributions

Journal of Credit Risk, Vol. 11, No. 2, 2015
Number of pages: 32 Posted: 15 Jun 2016
Enrique Batiz-Zuk, George A. Christodoulakis and Ser-Huang Poon
Banco de México, Manchester Business School and University of Manchester - Manchester Business School
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Abstract:

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Basel III, credit risk, Monte Carlo, non-Gaussian distribution, skewed Student-t distribution, Vasicek loan loss distribution