Cyclical adjustment of point-in-time PD

Journal of the Operational Research Society

Volumn 61, Issue 3, 2010, Pages 374-380

  Ingolfsson, S ^a   Elvarsson, B T ^b  

^a Riskmanagement Ltd   (Iceland)

^b UNIVERSITY OF ICELAND   (Iceland)

Author keywords

Banking; Capital budgeting; Forecasting; Risk; Time series

Indexed keywords

FORECASTING; REGULATORY COMPLIANCE; RISKS; STATE SPACE METHODS; TIME SERIES;

BANKING; CALIBRATION PROBLEMS; CAPITAL BUDGETING; CAPITAL REQUIREMENTS; DEFAULT PROBABILITIES; LOGISTIC REGRESSIONS; STATE - SPACE MODELS; STRUCTURAL DECOMPOSITION;

BUDGET CONTROL;

EID: 76849090813     PISSN: 01605682     EISSN: 14769360     Source Type: Journal    
DOI: 10.1057/jors.2009.136     Document Type: Conference Paper

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