Comparing the value at risk performance of the CreditRisk\(^+\) and its enhancement: a large deviations approach (Q2513666): Difference between revisions
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Revision as of 16:48, 28 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Comparing the value at risk performance of the CreditRisk\(^+\) and its enhancement: a large deviations approach |
scientific article |
Statements
Comparing the value at risk performance of the CreditRisk\(^+\) and its enhancement: a large deviations approach (English)
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28 January 2015
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value at risk
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CreditRisk\(^+\)
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2-stage CreditRisk\(^+\) model
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rare event
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large deviations principle
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Gärtner-Ellis theorem
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