Simulating Credit Loss Distributions: Empirical Versus the Vasicek Model
Because credit losses can be substantial, managing credit risk is a focus area of risk measurement and management. It is important for financial institutions to select credit risk models that accurately forecast losses. The Basel Committee on Banking Supervision (BCBS) chose the closed-form single...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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EconJournals
2024-03-01
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| Series: | International Journal of Economics and Financial Issues |
| Subjects: | |
| Online Access: | https://www.econjournals.com/index.php/ijefi/article/view/15698 |