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

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+Shortfall as a risk measure: properties, optimization and applications
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+Saddlepoint approximation for moment generating functions of truncated random variables
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+Saddlepoint Approximations in Statistics
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+PROPERTIES OF DISTRIBUTIONS RESULTING FROM CERTAIN SIMPLE TRANSFORMATIONS OF THE NORMAL DISTRIBUTION
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+Systems of Frequency Curves
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+Modeling stochastic recovery rates and dependence between default rates and recovery rates within a generalized credit portfolio framework
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+SYSTEMS OF FREQUENCY CURVES GENERATED BY METHODS OF TRANSLATION
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+CreditRisk\(^+\) in the banking industry.
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+Applying importance sampling for estimating coherent credit risk contributions
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+CreditRisk<sup>+</sup>Model with Dependent Risk Factors
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