A Bottom-Up Dynamic Model of Portfolio Credit Risk. Part I: Markov Copula Perspective (Q5256598): Difference between revisions
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Latest revision as of 02:03, 20 March 2024
scientific article; zbMATH DE number 6447347
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Bottom-Up Dynamic Model of Portfolio Credit Risk. Part I: Markov Copula Perspective |
scientific article; zbMATH DE number 6447347 |
Statements
A Bottom-Up Dynamic Model of Portfolio Credit Risk. Part I: Markov Copula Perspective (English)
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19 June 2015
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portfolio credit risk
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credit derivatives
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Markov copula model
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common shocks
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dynamic hedging
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