Forecasting and decomposition of portfolio credit risk using macroeconomic and frailty factors (Q1994418)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Forecasting and decomposition of portfolio credit risk using macroeconomic and frailty factors |
scientific article |
Statements
Forecasting and decomposition of portfolio credit risk using macroeconomic and frailty factors (English)
0 references
1 November 2018
0 references
risk contribution
0 references
conditional value-at-risk
0 references
Euler capital allocation
0 references
Hoeffding decomposition
0 references
default probability
0 references
0 references
0 references
