Take it to the limit: innovative CVaR applications to extreme credit risk measurement (Q320976): Difference between revisions
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| Property / author | |||
| Property / author: David E. Allen / rank | |||
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| Property / Mathematics Subject Classification ID: 91G40 / rank | |||
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| Property / zbMATH DE Number: 6635789 / rank | |||
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uncertainty modeling | |||
| Property / zbMATH Keywords: uncertainty modeling / rank | |||
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credit risk | |||
| Property / zbMATH Keywords: credit risk / rank | |||
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conditional value at risk | |||
| Property / zbMATH Keywords: conditional value at risk / rank | |||
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conditional probability of default | |||
| Property / zbMATH Keywords: conditional probability of default / rank | |||
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capital buffers | |||
| Property / zbMATH Keywords: capital buffers / rank | |||
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Revision as of 01:56, 28 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Take it to the limit: innovative CVaR applications to extreme credit risk measurement |
scientific article |
Statements
Take it to the limit: innovative CVaR applications to extreme credit risk measurement (English)
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7 October 2016
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uncertainty modeling
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credit risk
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conditional value at risk
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conditional probability of default
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capital buffers
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