Credit Portfolio Risk - Modelling, Estimation and Backtesting

Doctoral thesis English OPEN
Engel, Christoph;
(2008)
  • Publisher: Universität Mannheim
  • Subject: 330 Wirtschaft

This thesis studies an asset value-based approach for the valuation of credit portfolio risk including the estimation and the backtesting of the model’s forecasting ability. On the basis of the credit valuation model proposed by Black and Cox (1976) an asset value-based... View more
Share - Bookmark