EFFICIENT RISK MEASURES CALCULATIONS FOR GENERALIZED CREDITRISK+ MODELS (Q4994445): Difference between revisions

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Latest revision as of 09:29, 30 July 2024

scientific article; zbMATH DE number 7360861
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English
EFFICIENT RISK MEASURES CALCULATIONS FOR GENERALIZED CREDITRISK+ MODELS
scientific article; zbMATH DE number 7360861

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    EFFICIENT RISK MEASURES CALCULATIONS FOR GENERALIZED CREDITRISK+ MODELS (English)
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    18 June 2021
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    value-at-risk
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    expected shortfall
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    CreditRisk\(^+\) common background vector models
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    Johnson curve fitting
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    saddlepoint approximation
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    importance sampling
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    check function
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