Comparing the value at risk performance of the CreditRisk\(^+\) and its enhancement: a large deviations approach (Q2513666): Difference between revisions

@@ Property / describes a project that uses @@
+CreditRisk+
@@ Property / describes a project that uses: CreditRisk+ / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1007/s11009-013-9345-8
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@@ Property / OpenAlex ID @@
+W1996056427
@@ Property / OpenAlex ID: W1996056427 / rank @@
+Normal rank
@@ Property / cites work @@
+The credit risk\(^{+}\) model with general sector correlations
+Normal rank
@@ Property / cites work @@
+Heterogeneous credit portfolios and the dynamics of the aggregate losses
+Normal rank
@@ Property / cites work @@
+Large portfolio losses: A dynamic contagion model
@@ Property / cites work: Large portfolio losses: A dynamic contagion model / rank @@
+Normal rank
@@ Property / cites work @@
+Large portfolio losses
@@ Property / cites work: Large portfolio losses / rank @@
+Normal rank
@@ Property / cites work @@
+Q4391441
@@ Property / cites work: Q4391441 / rank @@
+Normal rank
@@ Property / cites work @@
+Credit contagion and aggregate losses
@@ Property / cites work: Credit contagion and aggregate losses / rank @@
+Normal rank
@@ Property / cites work @@
+LARGE DEVIATIONS IN MULTIFACTOR PORTFOLIO CREDIT RISK
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@@ Property / cites work @@
+Recovery rates in investment-grade pools of credit assets: a large deviations analysis
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