Global Portfolio Credit Risk Management: The US Banks Post-Crisis Challenge
This paper addresses the problem of modeling credit risk for multi-product and global loan portfolios. The authors presented an improved version of the Basel Committee’s one-factor model for capital requirements calculation. They examined whether latent market factors corresponding to distinct portf...
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| Format: | Article |
| Language: | English |
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MDPI AG
2021-03-01
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| Series: | Mathematics |
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| Online Access: | https://www.mdpi.com/2227-7390/9/5/562 |