Quantifying credit portfolio losses under multi-factor models (Q5031704): Difference between revisions
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Revision as of 21:13, 19 March 2024
scientific article; zbMATH DE number 7474731
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Quantifying credit portfolio losses under multi-factor models |
scientific article; zbMATH DE number 7474731 |
Statements
Quantifying credit portfolio losses under multi-factor models (English)
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16 February 2022
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credit risk
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value-at-risk
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expected shortfall
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multi-factor models
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Gaussian copula
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\(t\)-copula
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Fourier transform inversion
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Haar wavelets
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