Credit risk assessment considering variations in exposure : application to commitment lines / Shigeaki Fujiwara.

Commitment lines; Probability of default; Loss given default; Exposure at default; Expected loss; Unexpected loss.

Bibliographic Details

Online Access:	Connect to online resource
Main Author:	Fujiwara, Shigeaki
Corporate Author:	Nihon Ginkō. Kin'yū Kenkyūjo
Format:	Book
Language:	English
Published:	Tokyo : Institute for Monetary and Economic Studies, Bank of Japan, [2008]
Series:	IMES discussion paper series ; no. 2008-E-3.
Subjects:	Credit > Mathematical models. Risk assessment > Mathematical models. Default (Finance) > Mathematical models.