Unbiased Capital Allocation in an Asymptotic Single Risk Factor (ASRF) Model of Credit Risk

Paul Kupiec

doi:s://www.fdic.gov/

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Unbiased Capital Allocation in an Asymptotic Single Risk Factor (ASRF) Model of Credit Risk

02/18/2005
By Paul Kupiec
Series: Center for Financial Research Working Paper
Research Publications

[PDF-871.89 KB]

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Alternative Title:

No. 2005-04
Publisher's site:

https://www.fdic.gov/
Personal Author:

Paul Kupiec
Corporate Authors:

Federal Deposit Insurance Corporation (FDIC)
Pages in Document:

41
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Center for Financial Research Working Paper
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https://www.fdic.gov/analysis/cfr/working-papers/2005/2005-04.pdf
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PDF
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urn:sha256:68450937f5ee65a815584042d918a45c9e6d6260375ced324cd0ffdbe91950af
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https://archive.fdic.gov/view/fdic/12046/fdic_12046_DS1.pdf
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Unbiased Capital Allocation in an Asymptotic Single Risk Factor (ASRF) Model of Credit Risk

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