On the parameterization of the CreditRisk\(^+\) model for estimating credit portfolio risk (Q998291): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Removed claim: author (P16): Item:Q208837 |
||
| Property / author | |||
| Property / author: Paul Van Dooren / rank | |||
Revision as of 03:10, 11 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the parameterization of the CreditRisk\(^+\) model for estimating credit portfolio risk |
scientific article |
Statements
On the parameterization of the CreditRisk\(^+\) model for estimating credit portfolio risk (English)
0 references
28 January 2009
0 references
default correlation
0 references
aggregation
0 references
factorization
0 references
Panjer's recursion
0 references
