Comparing the value at risk performance of the CreditRisk\(^+\) and its enhancement: a large deviations approach (Q2513666)
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scientific article; zbMATH DE number 6391893
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| English | Comparing the value at risk performance of the CreditRisk\(^+\) and its enhancement: a large deviations approach |
scientific article; zbMATH DE number 6391893 |
Statements
Comparing the value at risk performance of the CreditRisk\(^+\) and its enhancement: a large deviations approach (English)
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28 January 2015
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value at risk
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CreditRisk\(^+\)
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2-stage CreditRisk\(^+\) model
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rare event
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large deviations principle
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Gärtner-Ellis theorem
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0.8275566697120667
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0.7768326997756958
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0.7749384045600891
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0.7671441435813904
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