Credit risk and solvency capital requirements (Q2323660): Difference between revisions

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+On the Calculation of the Solvency Capital Requirement Based on Nested Simulations
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+Credit risk: Modelling, valuation and hedging
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+Term Structures of Credit Spreads with Incomplete Accounting Information
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+On Models of Default Risk
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+Q4343010
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+Inside the Solvency 2 black box: net asset values and solvency capital requirements with a least-squares Monte-Carlo approach
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+Quantifying credit and market risk under Solvency II: standard approach versus internal model
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+A simple general approach to inference about the tail of a distribution
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+Parameter and Quantile Estimation for the Generalized Pareto Distribution
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+Finding Generators for Markov Chains via Empirical Transition Matrices, with Applications to Credit Ratings
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+On a basis for ''peaks over threshold'' modeling
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+Extreme Financial Risks and Asset Allocation
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