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scientific article; zbMATH DE number 5066128
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scientific article; zbMATH DE number 5066128

    Statements

    author
    Christian Bluhm
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    Ludger Overbeck
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    publication date
    20 October 2006
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    Mathematics Subject Classification ID
    91-02
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    91G40
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    91G10
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    zbMATH DE Number
    5066128
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    zbMATH Keywords
    credit risk
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    portfolio
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    hedging
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    copula
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    Markov chain
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    Monte Carlo simulations
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    collateralized debt obligations
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    default basket
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    default probability
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    expected loss
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    expected shortfall
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