Modeling of contagious credit events and risk analysis of credit portfolios (Q431916)
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scientific article; zbMATH DE number 6052442
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| default for all languages | No label defined |
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| English | Modeling of contagious credit events and risk analysis of credit portfolios |
scientific article; zbMATH DE number 6052442 |
Statements
Modeling of contagious credit events and risk analysis of credit portfolios (English)
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3 July 2012
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credit risk
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rating change
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self-exciting intensity model
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state-dependent
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top-down approach
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0.8311359882354736
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0.8026280999183655
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0.7952994108200073
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0.7927759885787964
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0.7910090684890747
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