Consistent assumptions for modeling credit loss correlations (Q3566016)
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scientific article; zbMATH DE number 5717333
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| default for all languages | No label defined |
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| English | Consistent assumptions for modeling credit loss correlations |
scientific article; zbMATH DE number 5717333 |
Statements
7 June 2010
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default correlation
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loss correlation
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comonotonicity
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economic capital
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0.7531496286392212
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0.7379545569419861
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0.7326768040657043
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0.7287726402282715
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