Measuring portfolio credit risk correctly: Why parameter uncertainty matters

Journal of Banking and Finance

Volumn 34, Issue 9, 2010, Pages 2065-2076

  Tarashev, Nikola ^a  

^a BANK FOR INTERNATIONAL SETTLEMENTS   (Switzerland)

Author keywords

Correlated defaults; Estimation error; Risk management

Indexed keywords

EID: 77954144875     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2010.01.017     Document Type: Article

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