Comparing the value at risk performance of the CreditRisk\(^+\) and its enhancement: a large deviations approach (Q2513666): Difference between revisions
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| Property / cites work: The credit risk\(^{+}\) model with general sector correlations / rank | |||
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| Property / cites work: Heterogeneous credit portfolios and the dynamics of the aggregate losses / rank | |||
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| Property / cites work: Large portfolio losses / rank | |||
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| Property / cites work: Q4391441 / rank | |||
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| Property / cites work: Credit contagion and aggregate losses / rank | |||
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| Property / cites work: LARGE DEVIATIONS IN MULTIFACTOR PORTFOLIO CREDIT RISK / rank | |||
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Latest revision as of 14:08, 9 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Comparing the value at risk performance of the CreditRisk\(^+\) and its enhancement: a large deviations approach |
scientific article |
Statements
Comparing the value at risk performance of the CreditRisk\(^+\) and its enhancement: a large deviations approach (English)
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28 January 2015
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value at risk
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CreditRisk\(^+\)
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2-stage CreditRisk\(^+\) model
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rare event
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large deviations principle
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Gärtner-Ellis theorem
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