نتایج جستجو برای: default correlation
تعداد نتایج: 410659 فیلتر نتایج به سال:
A new methodology for incorporating LGD correlation effects into the Basel II risk weight functions is introduced. This methodology is based on modelling of LGD and default event with a single loss variable. The resulting formulas for capital charges are numerically compared to the current proposals by the Basel Committee on Banking Supervision.
This paper analyzes corporate bond valuation and optimal call and default rules when interest rates and firm value are stochastic. It then uses the results to explain the dynamics of hedging. Bankruptcy rules are important determinants of corporate bond sensitivity to interest rates and firm value. Although endogenous and exogenous bankruptcy models can be calibrated to produce the same prices,...
Agnosticism has always had its fair amount of criticism. Religious believers often described the first agnostics as infidels and it is not uncommon to see them somewhat dull fence-sitters. Moreover, undecided agnostic stance on belief in gods compared with being unsure about such obviously false statements existence orbiting teapots, invisible dragons or even Santa Claus. In this paper, I maint...
BACKGROUND Positron emission tomography (PET) studies of major depression have revealed resting-state abnormalities in the prefrontal and cingulate cortices. Recently, fMRI has been adapted to examine connectivity within a specific resting-state neural network--the default-mode network--that includes medial prefrontal and anterior cingulate cortices. The goal of this study was to examine restin...
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