Weight of the Default Component of CDS Spreads: Avoiding Procyclicality in Credit Loss Provisioning Framework
The current expected loss calculations have recently attracted considerable attention in the research on credit risk modeling, impairment provisioning, and financial networks’ stability. A new CDS-based approach to estimate current expected credit loss is proposed for low default portfolios, contain...
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Main Author: | Mariya Gubareva |
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Format: | Article |
Language: | English |
Published: |
Wiley
2019-01-01
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Series: | Complexity |
Online Access: | http://dx.doi.org/10.1155/2019/7820618 |
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