A limit distribution of credit portfolio losses with low default probabilities (Q1681199): Difference between revisions
From MaRDI portal
Removed claim: author (P16): Item:Q1566064 |
Changed an Item |
||
Property / author | |||
Property / author: Qi-he Tang / rank | |||
Normal rank |
Revision as of 02:21, 29 February 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | A limit distribution of credit portfolio losses with low default probabilities |
scientific article |
Statements
A limit distribution of credit portfolio losses with low default probabilities (English)
0 references
23 November 2017
0 references
credit portfolio loss
0 references
extreme risk
0 references
limit distribution
0 references
loss given default
0 references
model risk
0 references
multivariate regular variation
0 references
tail dependence
0 references