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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Hoboken, NJ: Wiley
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English
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Hoboken, NJ: Wiley
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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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Credit line exposure at default modelling using Bayesian mixed effect quantile regression
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TN_cdi_proquest_journals_2758076725
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https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_journals_2758076725
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ISSN
1467-985X,0964-1998
E-ISSN
1467-985X
DOI
10.1111/rssa.12855