Forecasting and decomposition of portfolio credit risk using macroeconomic and frailty factors (Q1994418)
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scientific article; zbMATH DE number 6970339
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| English | Forecasting and decomposition of portfolio credit risk using macroeconomic and frailty factors |
scientific article; zbMATH DE number 6970339 |
Statements
Forecasting and decomposition of portfolio credit risk using macroeconomic and frailty factors (English)
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1 November 2018
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risk contribution
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conditional value-at-risk
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Euler capital allocation
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Hoeffding decomposition
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default probability
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0.7419396042823792
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0.7407577037811279
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0.7226755619049072
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0.7167521119117737
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