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

Simone Casellina, Simone Landini, Mariacristina Uberti. Credit risk measures and the estimation error in the ASRF model under the Basel II IRB approach. Commun. Nonlinear Sci. Numer. Simul., 118:106977, April 2023. [doi]

Abstract

Abstract is missing.