Emerging Market Default Risk Charge Model
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References listed on IDEAS
- Jean-Paul Laurent & Michael Sestier & Stéphane Thomas, 2016. "Trading book and credit risk: How fundamental is the Basel review?," Post-Print hal-03676300, HAL.
- Luis E. Pereiro, 2010. "The Beta Dilemma in Emerging Markets," Journal of Applied Corporate Finance, Morgan Stanley, vol. 22(4), pages 110-122, September.
- Laurent, Jean-Paul & Sestier, Michael & Thomas, Stéphane, 2016. "Trading book and credit risk: How fundamental is the Basel review?," Journal of Banking & Finance, Elsevier, vol. 73(C), pages 211-223.
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Keywords
emerging markets; default risk charge; correlation modelling; framework;All these keywords.
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