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