A Top-Down Approach to Multiname Credit

DOI10.1287/opre.1100.0855zbMath1237.91221OpenAlexW4383597107WikidataQ56688173 ScholiaQ56688173MaRDI QIDQ3098753

Kay Giesecke, Lisa R. Goldberg, Xiaowei Ding

Publication date: 18 November 2011

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/opre.1100.0855

zbMATH Keywords

financial institutions: banksfinance: securitiesprobability: applications

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

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