CreditRisk+
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Cited in
(47)- Granularity adjustment for risk measures: systematic vs unsystematic risks
- Pricing \(k\)th realization derivatives and collateralized debt obligation with multivariate Fréchet copula
- Generalized CreditRisk\(^+\) model and applications
- Notes on discrete compound Poisson model with applications to risk theory
- On loss distributions from installment-repaid loans
- Efficient risk measures calculations for generalized CreditRisk\(^+\) models
- Analysis of default data using hidden Markov models
- Efficient simulation of Lévy-driven point processes
- Analytical methods for hedging systematic credit risk with linear factor portfolios
- A class of multivariate copulas with bivariate Fréchet marginal copulas
- Risk factor analysis and portfolio immunization in the corporate bond market
- A hybrid heuristic approach to discrete multi-objective optimization of credit portfolios
- Quantifying the impact of different copulas in a generalized CreditRisk\(^+\) framework. An empirical study
- Modeling stochastic recovery rates and dependence between default rates and recovery rates within a generalized credit portfolio framework
- A credit risk modelling approach to assess supplier default risk
- A framework to measure integrated risk
- pTAS distributions with application to risk management
- Comparing the value at risk performance of the CreditRisk\(^+\) and its enhancement: a large deviations approach
- Applying importance sampling for estimating coherent credit risk contributions
- Panjer recursion versus FFT for compound distributions
- An integrated pricing model for defaultable loans and bonds
- An approximation method for risk aggregations and capital allocation rules based on additive risk factor models
- CreditRisk\(^+\) model with dependent risk factors
- Graphical models for correlated defaults
- Dowd
- Dependent defaults and losses with factor copula models
- Constructions of copulas with given diagonal (and opposite diagonal) sections and some generalizations
- Multiscale intensity models and name grouping for valuation of multi-name credit derivatives
- A generalization of Panjer's recursion and numerically stable risk aggregation
- LARGE DEVIATIONS IN MULTIFACTOR PORTFOLIO CREDIT RISK
- Johnson Curve
- Capital Allocation for a Sum of Dependent Compound Mixed Poisson Variables: A Recursive Algorithm Approach
- Estimating sensitivities of portfolio credit risk using Monte Carlo
- Metamodel of a large credit risk portfolio in the Gaussian copula model
- Efficient simulations for a Bernoulli mixture model of portfolio credit risk
- Preservation of WSAI under default transforms and its application in allocating assets with dependent realizable returns
- Modelling small and medium enterprise loan defaults as rare events: the generalized extreme value regression model
- On the parameterization of the CreditRisk\(^+\) model for estimating credit portfolio risk
- Computation of credit portfolio loss distribution by a cross entropy method
- On the sample path properties of mixed Poisson processes
- Copulas, credit portfolios, and the broken heart syndrome. An interview with David X. Li
- Empirical investigation of insurance claim dependencies using mixture models
- Credit scoring based on the set-valued identification method
- Risk measurement for portfolio credit risk based on a mixed Poisson model
- The default risk charge approach to regulatory risk measurement processes
- Poisson-Gamma mixture processes and applications to premium calculation
- Calibration of the default probability model
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