Das IRB-Modell des Kreditrisikos im Vergleich zum Modell einer logarithmisch normalverteilten Verlustfunktion

Research, Preprint OPEN
Vetter, Michael; Cremers, Heinz;
  • Publisher: Frankfurt a. M.: Frankfurt School of Finance & Management
  • Subject: Unexpected Loss | Credit Value at Risk | logarithmische Normalverteiling | Expected Loss | Basel II | Kreditrisikomodell | Basel II,Expected Loss,Unexpected Loss,Kreditrisikomodell,logarithmische Normalverteiling,Credit Value at Risk
    • ddc: ddc:330

In 2004 the Basel Committee published an extensive revision of the capital charges which creates more risk sensitive capital requirements for banks. The New Accord called International Convergence of Capital Measurement and Capital Standard provides in its first pillar ... View more
Share - Bookmark