Pages that link to "Item:Q903339"
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The following pages link to The loss given default of a low-default portfolio with weak contagion (Q903339):
Displayed 6 items.
- A factor model for joint default probabilities. Pricing of CDS, index swaps and index tranches (Q506065) (← links)
- LLN-type approximations for large portfolio losses (Q1667412) (← links)
- A limit distribution of credit portfolio losses with low default probabilities (Q1681199) (← links)
- An asymptotic characterization of hidden tail credit risk with actuarial applications (Q1707554) (← links)
- Confidence sets and confidence bands for a beta distribution with applications to credit risk management (Q2364012) (← links)
- Efficient algorithms for calculating risk measures and risk contributions in copula credit risk models (Q6199670) (← links)