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

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