A limit distribution of credit portfolio losses with low default probabilities (Q1681199): Difference between revisions

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+Qi-he Tang
@@ Property / author: Qi-he Tang / rank @@
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+copula
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+MaRDI publication profile
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.insmatheco.2017.02.003
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+W2586931296
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@@ Property / cites work @@
+A hierarchical copula-based world-wide valuation of sovereign risk
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+Multivariate models for operational risk
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+On the observation closest to the origin
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+Heavy-Tail Phenomena
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+Asymptotic Analysis of the Loss Given Default in the Presence of Multivariate Regular Variation
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+On the parameterization of the CreditRisk\(^+\) model for estimating credit portfolio risk
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+CreditRisk<sup>+</sup>Model with Dependent Risk Factors
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+The loss given default of a low-default portfolio with weak contagion
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