Credit line exposure at default modelling using Bayesian mixed effect quantile regression
Credit line exposure at default modelling using Bayesian mixed effect quantile regression
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Publisher
Hoboken, NJ: Wiley
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Language
English
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Publisher
Hoboken, NJ: Wiley
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Scope and Contents
Contents
For banks, credit lines play an important role exposing both liquidity and credit risk. In the advanced internal ratings‐based approach, banks are obliged to use their own estimates of exposure at default using credit conversion factors. For volatile segments, additional downturn estimates are required. Using the world's largest database of default...
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Full title
Credit line exposure at default modelling using Bayesian mixed effect quantile regression
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TN_cdi_proquest_journals_2758076725
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_journals_2758076725
Other Identifiers
ISSN
1467-985X,0964-1998
E-ISSN
1467-985X
DOI
10.1111/rssa.12855
