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Borzykh et al., 2021 - Google Patents

IRB PD model accuracy validation in the presence of default correlation: a twin confidence interval approach

Borzykh et al., 2021

Document ID
14017409288643951910
Author
Borzykh D
Penikas H
Publication year
Publication venue
Risk Management

External Links

Snippet

The BIS indicated in July 2020 an unprecedented rise in default risk correlation as a result of pandemics-induced credit risks' accumulation. A third of the world banking assets credit risk measurement depends on the Basel internal-ratings-based (IRB) models. To ensure …
Continue reading at link.springer.com (other versions)

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