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Homeen-gbBenchmarking loss given default discount ratesThis paper provides a theoretical and empirical analysis of alternative discount rate concepts for computing loss given default rates using historical bank workout data.
https://www.risk.net/journal-of-risk-model-validation/7678501/benchmarking-loss-given-default-discount-rates
https://www.risk.net/journal-of-risk-model-validation/7678501/benchmarking-loss-given-default-discount-rates
Fri, 11 Sep 2020 15:23:06 +0100 The role of model risk in extreme value theory for capital adequacyThis paper studies the impact of model risk on EVT methods when determining the value-at-risk and expected shortfall.
https://www.risk.net/journal-of-risk/2463230/the-role-of-model-risk-in-extreme-value-theory-for-capital-adequacy
https://www.risk.net/journal-of-risk/2463230/the-role-of-model-risk-in-extreme-value-theory-for-capital-adequacy
Fri, 01 Jul 2016 14:05:00 +0100