CreditRisk<sup>+</sup>Model with Dependent Risk Factors (Q5379134)
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scientific article; zbMATH DE number 7059806
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | CreditRisk<sup>+</sup>Model with Dependent Risk Factors |
scientific article; zbMATH DE number 7059806 |
Statements
CreditRisk<sup>+</sup>Model with Dependent Risk Factors (English)
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28 May 2019
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credit risk model
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conditional independence
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dependent risk factors
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Panjer's recursion
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multivariate copulas
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