Credit-Risk Modelling

DOI10.1007/978-3-319-94688-7MaRDI QIDQ4561684zbMATH OpenOpenAlexFDO

Authors David Jamieson Bolder

Publication date 12 December 2018

Full work available at URL https://doi.org/10.1007/978-3-319-94688-7

zbMATH Keywords

copulacredit riskhazard ratesaddlepoint approximationvalue at risk

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Credit risk (91G40) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70)

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Cited in

(2)

• Credit risk measures and the estimation error in the ASRF model under the Basel II IRB approach
• Poisson-Gamma mixture processes and applications to premium calculation

Describes a project that uses

Uses Software

• Python

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