Bayesian confidence intervals for probability of default and asset correlation of portfolio credit risk (Q2259722)
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scientific article; zbMATH DE number 6411381
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| default for all languages | No label defined |
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| English | Bayesian confidence intervals for probability of default and asset correlation of portfolio credit risk |
scientific article; zbMATH DE number 6411381 |
Statements
Bayesian confidence intervals for probability of default and asset correlation of portfolio credit risk (English)
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5 March 2015
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asset correlation
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Bayesian confidence intervals
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portfolio credit risk
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probability of default
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MCMC
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serial dependence
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0.8391171097755432
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0.8075854182243347
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0.7433162927627563
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0.7381486296653748
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0.7348825931549072
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