The credit risk\(^{+}\) model with general sector correlations (Q623760): Difference between revisions
From MaRDI portal
Changed an Item |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 01:47, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The credit risk\(^{+}\) model with general sector correlations |
scientific article |
Statements
The credit risk\(^{+}\) model with general sector correlations (English)
0 references
8 February 2011
0 references
credit risk\(^{+}\)
0 references
compound gamma distribution
0 references
value at risk
0 references
risk contribution
0 references
correlation
0 references
portfolio loss distribution
0 references
moment generating function
0 references
