Concentration Risk in Credit Portfolios (Q3528114)

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Concentration Risk in Credit Portfolios
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    title
    Concentration Risk in Credit Portfolios (English)
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    author
    Eva Lütkebohmert
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    publication date
    6 October 2008
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    Mathematics Subject Classification ID
    91-02
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    91G40
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    91G10
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    62P05
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    zbMATH DE Number
    5349209
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    zbMATH Keywords
    credit risk
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    concentration risk
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    Merton model
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    single factor models
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    name concentration
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    country concentration
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    default contagion
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    copulas
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