Computational techniques for basic affine models of portfolio credit risk (Q3639928)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Computational techniques for basic affine models of portfolio credit risk |
scientific article |
Statements
Computational techniques for basic affine models of portfolio credit risk (English)
0 references
26 October 2009
0 references
credit derivatives
0 references
portfolio loss distribution
0 references
market frictions
0 references
corporate defaults
0 references
Gaussian copula
0 references
Andersen-Sidenius-Basu algorithm
0 references
