A limit distribution of credit portfolio losses with low default probabilities (Q1681199): Difference between revisions
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Revision as of 08:59, 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)
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23 November 2017
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credit portfolio loss
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extreme risk
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limit distribution
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loss given default
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model risk
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multivariate regular variation
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tail dependence
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