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Credit risk measures and the estimation error in the ASRF model under the Basel II IRB approach.

Simone CasellinaSimone LandiniMariacristina Uberti
Published in: Commun. Nonlinear Sci. Numer. Simul. (2023)
Keyphrases
  • risk measures
  • probability distribution
  • estimation error
  • multiscale
  • objective function
  • portfolio optimization