LIBROS DEL AUTOR: martin erdelmeier

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  • Crash Testing German Banks
    Klaus Duellmann / Martin Erdelmeier / International Journal of Central Banking
    In this paper we stress-test credit portfolios of twenty-eight German banks based on a Merton-type multifactor credit-risk model. The stress scenario is an economic downturn in the automobile sector. Although the percentage of loans in the automobile sector is relatively low for all banks in the sample, the expected loss conditional on the stress event increases substantially b...
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