Quantifying credit portfolio losses under multi-factor models (Q5031704)
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scientific article; zbMATH DE number 7474731
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| English | Quantifying credit portfolio losses under multi-factor models |
scientific article; zbMATH DE number 7474731 |
Statements
Quantifying credit portfolio losses under multi-factor models (English)
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16 February 2022
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credit risk
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value-at-risk
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expected shortfall
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multi-factor models
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Gaussian copula
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\(t\)-copula
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Fourier transform inversion
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Haar wavelets
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0.8168643116950989
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0.8165043592453003
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0.8086264729499817
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0.8073098659515381
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