Quantifying credit portfolio losses under multi-factor models (Q5031704)
From MaRDI portal
scientific article; zbMATH DE number 7474731
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Quantifying credit portfolio losses under multi-factor models |
scientific article; zbMATH DE number 7474731 |
Statements
Quantifying credit portfolio losses under multi-factor models (English)
0 references
16 February 2022
0 references
credit risk
0 references
value-at-risk
0 references
expected shortfall
0 references
multi-factor models
0 references
Gaussian copula
0 references
\(t\)-copula
0 references
Fourier transform inversion
0 references
Haar wavelets
0 references
