Concentration Risk in Credit Portfolios (Q3528114)
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scientific article; zbMATH DE number 5349209
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Concentration Risk in Credit Portfolios |
scientific article; zbMATH DE number 5349209 |
Statements
Concentration Risk in Credit Portfolios (English)
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6 October 2008
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credit risk
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concentration risk
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Merton model
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single factor models
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name concentration
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country concentration
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default contagion
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copulas
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0.8120602369308472
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0.8108368515968323
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0.805104672908783
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0.781258225440979
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