Maria Ermolova, Henry Penikas. The impact of PD-LGD correlation on bank capital adequacy in nongranular loan portfolio. MASA, 14(1):103-120, 2019. [doi]
@article{ErmolovaP19,
title = {The impact of PD-LGD correlation on bank capital adequacy in nongranular loan portfolio},
author = {Maria Ermolova and Henry Penikas},
year = {2019},
doi = {10.3233/MAS-180450},
url = {https://doi.org/10.3233/MAS-180450},
researchr = {https://researchr.org/publication/ErmolovaP19},
cites = {0},
citedby = {0},
journal = {MASA},
volume = {14},
number = {1},
pages = {103-120},
}