The effects of estimation error on measures of portfolio credit risk

Journal of Banking and Finance

Volumn 27, Issue 8, 2003, Pages 1427-1453

  Löffler, Gunter ^a  

^a GOETHE UNIVERSITY   (Germany)

Author keywords

Credit risk; Estimation error; Predictive distributions; Value at risk

Indexed keywords

EID: 0038309725     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4266(02)00277-7     Document Type: Article

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