Matches in SemOpenAlex for { <https://semopenalex.org/work/W2113189416> ?p ?o ?g. }
Showing items 1 to 90 of
90
with 100 items per page.
- W2113189416 abstract "In this paper we focus on the analysis of the effect of prediction and estimation risk on the loss distribution, risk measures and economic capital. When variables for the determination of probability of default and loss distribution have to be predicted because they are notavailable at the time the prediction is made, the prediction is prone to errors. The model parameters for the estimation of probability of default or asset correlation are not available, and usually have to be estimated using historical data. The incorporation of prediction and estimation risk generally leads to broader loss distributions and therefore to rising values ofrisk parameters such as Value at Risk or Expected Shortfall. The level of economic capital required may be strongly underestimated if prediction and estimation risk are ignored." @default.
- W2113189416 created "2016-06-24" @default.
- W2113189416 creator A5047605922 @default.
- W2113189416 creator A5069905887 @default.
- W2113189416 creator A5072758094 @default.
- W2113189416 creator A5078711197 @default.
- W2113189416 date "2005-01-01" @default.
- W2113189416 modified "2023-09-23" @default.
- W2113189416 title "Incorporating Prediction and Estimation Risk in Point-in-Time Credit Portfolio Models" @default.
- W2113189416 cites W1493832363 @default.
- W2113189416 cites W1504163507 @default.
- W2113189416 cites W1541179660 @default.
- W2113189416 cites W1558143278 @default.
- W2113189416 cites W1569577457 @default.
- W2113189416 cites W18697300 @default.
- W2113189416 cites W1971118348 @default.
- W2113189416 cites W1988555903 @default.
- W2113189416 cites W2011886674 @default.
- W2113189416 cites W2052880518 @default.
- W2113189416 cites W2077791698 @default.
- W2113189416 cites W2082317778 @default.
- W2113189416 cites W2088612173 @default.
- W2113189416 cites W2105039658 @default.
- W2113189416 cites W2105973145 @default.
- W2113189416 cites W2112315720 @default.
- W2113189416 cites W2112468610 @default.
- W2113189416 cites W2143881663 @default.
- W2113189416 cites W2157579301 @default.
- W2113189416 cites W2165946944 @default.
- W2113189416 cites W3121281239 @default.
- W2113189416 cites W3123921245 @default.
- W2113189416 cites W3123925466 @default.
- W2113189416 cites W3124461723 @default.
- W2113189416 cites W3124671068 @default.
- W2113189416 cites W3124823640 @default.
- W2113189416 cites W3125498602 @default.
- W2113189416 cites W2145378551 @default.
- W2113189416 doi "https://doi.org/10.2139/ssrn.2793972" @default.
- W2113189416 hasPublicationYear "2005" @default.
- W2113189416 type Work @default.
- W2113189416 sameAs 2113189416 @default.
- W2113189416 citedByCount "2" @default.
- W2113189416 crossrefType "journal-article" @default.
- W2113189416 hasAuthorship W2113189416A5047605922 @default.
- W2113189416 hasAuthorship W2113189416A5069905887 @default.
- W2113189416 hasAuthorship W2113189416A5072758094 @default.
- W2113189416 hasAuthorship W2113189416A5078711197 @default.
- W2113189416 hasBestOaLocation W21131894162 @default.
- W2113189416 hasConcept C106159729 @default.
- W2113189416 hasConcept C149782125 @default.
- W2113189416 hasConcept C162118730 @default.
- W2113189416 hasConcept C162324750 @default.
- W2113189416 hasConcept C178350159 @default.
- W2113189416 hasConcept C187736073 @default.
- W2113189416 hasConcept C2524010 @default.
- W2113189416 hasConcept C2780821815 @default.
- W2113189416 hasConcept C28719098 @default.
- W2113189416 hasConcept C33923547 @default.
- W2113189416 hasConcept C41008148 @default.
- W2113189416 hasConcept C96250715 @default.
- W2113189416 hasConceptScore W2113189416C106159729 @default.
- W2113189416 hasConceptScore W2113189416C149782125 @default.
- W2113189416 hasConceptScore W2113189416C162118730 @default.
- W2113189416 hasConceptScore W2113189416C162324750 @default.
- W2113189416 hasConceptScore W2113189416C178350159 @default.
- W2113189416 hasConceptScore W2113189416C187736073 @default.
- W2113189416 hasConceptScore W2113189416C2524010 @default.
- W2113189416 hasConceptScore W2113189416C2780821815 @default.
- W2113189416 hasConceptScore W2113189416C28719098 @default.
- W2113189416 hasConceptScore W2113189416C33923547 @default.
- W2113189416 hasConceptScore W2113189416C41008148 @default.
- W2113189416 hasConceptScore W2113189416C96250715 @default.
- W2113189416 hasLocation W21131894161 @default.
- W2113189416 hasLocation W21131894162 @default.
- W2113189416 hasOpenAccess W2113189416 @default.
- W2113189416 hasPrimaryLocation W21131894161 @default.
- W2113189416 hasRelatedWork W2153305476 @default.
- W2113189416 hasRelatedWork W2168574366 @default.
- W2113189416 hasRelatedWork W2612306028 @default.
- W2113189416 hasRelatedWork W2774610372 @default.
- W2113189416 hasRelatedWork W2784403291 @default.
- W2113189416 hasRelatedWork W2952747026 @default.
- W2113189416 hasRelatedWork W3123683619 @default.
- W2113189416 hasRelatedWork W3124353770 @default.
- W2113189416 hasRelatedWork W3125266929 @default.
- W2113189416 hasRelatedWork W3093077534 @default.
- W2113189416 isParatext "false" @default.
- W2113189416 isRetracted "false" @default.
- W2113189416 magId "2113189416" @default.
- W2113189416 workType "article" @default.