The loss given default of a low-default portfolio with weak contagion (Q903339): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.10.005 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2175270633 / rank | |||
Normal rank | |||
Revision as of 00:39, 20 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The loss given default of a low-default portfolio with weak contagion |
scientific article |
Statements
The loss given default of a low-default portfolio with weak contagion (English)
0 references
5 January 2016
0 references
asymptotic analysis
0 references
asymptotic (in)dependence
0 references
credit contagion
0 references
default probability
0 references
loss given default
0 references
low-default portfolio
0 references
risk measure
0 references
Sarmanov distribution
0 references
