An improved approach to evaluate default probabilities and default correlations with consistency (Q2816962)
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scientific article; zbMATH DE number 6619844
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| English | An improved approach to evaluate default probabilities and default correlations with consistency |
scientific article; zbMATH DE number 6619844 |
Statements
26 August 2016
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default correlation
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probability of default
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consistency
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credit analysis
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risk management
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Kolmogorov forward equation
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first-passage-time model
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0.88654536
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0.87762976
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0.87185496
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0.87138313
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0.8692058
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0.8687245
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0.86603713
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An improved approach to evaluate default probabilities and default correlations with consistency (English)
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