Modelling Credit Risk: Estimation of Asset and Default Correlation for an SME Portfolio
When banks lend capital to counterparties they take on a risk, known as credit risk which traditionally has been the largest risk exposure for banks. To be protected against potential default losses when lending capital, banks must hold a regulatory capital that is based on a regulatory formula for...
| Main Authors: | , |
|---|---|
| Format: | Others |
| Language: | English |
| Published: |
Umeå universitet, Institutionen för matematik och matematisk statistik
2018
|
| Subjects: | |
| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-149281 |