Christian Greve

DZ Bank AG

60265 Frankfurt am Main

Germany

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Scholarly Papers (1)

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Benchmarking the Loss Given Default Parameter for Mortgage Loan Portfolios Under Stress

Journal of Credit Risk, Vol. 12, No. 4, 2016
Posted: 01 Nov 2016
Lutz Hahnenstein and Christian Greve
Ampega Asset Management GmbH and DZ Bank AG

Abstract:

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benchmarking, credit risk, loan-to-value (LTV), loss given default (LGD), mortgage loans, stress testing