Stochastic LGD and EAD in a Structural Model of Portfolio Credit Risk

Kaposty, Florian; Löderbusch, Matthias; Maciag, Jakob

Stochastic LGD and EAD in a Structural Model of Portfolio Credit Risk

Kaposty Florian, Löderbusch Matthias, Maciag Jakob

Cite as

Kaposty, F., Löderbusch, M., & Maciag, J. (2017). Stochastic LGD and EAD in a Structural Model of Portfolio Credit Risk. Journal of Credit Risk, 13(1).

Details

Publication type

Research article (journal)

Peer reviewed

Yes

Publication status

Published

Year

2017

Journal

Journal of Credit Risk

Volume

13

Issue

1

Language

English

ISSN

1744-6619