The credit risk\(^{+}\) model with general sector correlations (Q623760): Difference between revisions
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| Property / DOI: 10.1007/s10100-009-0084-4 / rank | |||
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| Property / author: Srikanth K. Iyer / rank | |||
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| Property / author: Srikanth K. Iyer / rank | |||
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| Property / OpenAlex ID: W2110971974 / rank | |||
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Latest revision as of 22:45, 9 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The credit risk\(^{+}\) model with general sector correlations |
scientific article |
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The credit risk\(^{+}\) model with general sector correlations (English)
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8 February 2011
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credit risk\(^{+}\)
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compound gamma distribution
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value at risk
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risk contribution
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correlation
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portfolio loss distribution
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moment generating function
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