Application of the Merton model to estimate the probability of breaching the capital requirements under Basel III rules

Annals of Finance, Vol. 16 pp. 141 - 157, March 2020

Author(s):

Vincenzo Russo

Group Risk Management, Assicurazioni Generali S.p.A.

Valentina Lagasio

Department of Management, University of Rome “La Sapienza”

Marina Brogi

Department of Management, University of Rome “La Sapienza”

Frank J. Fabozzi

EDHEC Business School

Annals of Finance, Vol. 16 pp. 141 - 157, March 2020

Type: Academic publication
Date: le 16/01/2020
Research Cluster : Finance
Source : Annals of Finance

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