Incorporating default correlations and severity variations
From MaRDI portal
Recommendations
- The credit risk\(^{+}\) model with general sector correlations
- Econometric methods for sector analysis
- Comparing the value at risk performance of the CreditRisk\(^+\) and its enhancement: a large deviations approach
- Asymptotic behaviour of multivariate default probabilities and default correlations under stress
- An Introduction to Credit Risk Modeling
Cited in
(7)- Comparing the value at risk performance of the CreditRisk\(^+\) and its enhancement: a large deviations approach
- An improved approach to evaluate default probabilities and default correlations with consistency
- Consistent assumptions for modeling credit loss correlations
- Econometric methods for sector analysis
- Efficient risk measures calculations for generalized CreditRisk\(^+\) models
- CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS
- The credit risk\(^{+}\) model with general sector correlations
This page was built for publication: Incorporating default correlations and severity variations
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4660859)