A limit distribution of credit portfolio losses with low default probabilities (Q1681199)
From MaRDI portal
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)
0 references
23 November 2017
0 references
credit portfolio loss
0 references
extreme risk
0 references
limit distribution
0 references
loss given default
0 references
model risk
0 references
multivariate regular variation
0 references
tail dependence
0 references
