Efficient risk measures calculations for generalized CreditRisk\(^+\) models (Q4994445)
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scientific article; zbMATH DE number 7360861
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| English | Efficient risk measures calculations for generalized CreditRisk\(^+\) models |
scientific article; zbMATH DE number 7360861 |
Statements
EFFICIENT RISK MEASURES CALCULATIONS FOR GENERALIZED CREDITRISK+ MODELS (English)
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18 June 2021
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value-at-risk
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expected shortfall
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CreditRisk\(^+\) common background vector models
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Johnson curve fitting
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saddlepoint approximation
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importance sampling
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check function
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0.7942339181900024
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