EFFICIENT RISK MEASURES CALCULATIONS FOR GENERALIZED CREDITRISK+ MODELS (Q4994445): 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 18:21, 5 March 2024
scientific article; zbMATH DE number 7360861
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | EFFICIENT RISK MEASURES CALCULATIONS FOR GENERALIZED CREDITRISK+ MODELS |
scientific article; zbMATH DE number 7360861 |
Statements
EFFICIENT RISK MEASURES CALCULATIONS FOR GENERALIZED CREDITRISK+ MODELS (English)
0 references
18 June 2021
0 references
value-at-risk
0 references
expected shortfall
0 references
CreditRisk\(^+\) common background vector models
0 references
Johnson curve fitting
0 references
saddlepoint approximation
0 references
importance sampling
0 references
check function
0 references
