Estimation of capital requirements in downturn conditions via the CBV model: Evidence from the Greek banking sector
One of the main drawbacks of the original CreditRisk+ methodology is that it models the default rates of the sectors (e.g. industry) as independently distributed random variables. Such an assumption has been considered as unrealistic and various approaches have been proposed in order to overcome thi...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2019-01-01
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| Series: | Operations Research Perspectives |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2214716017301847 |