Structured credit portfolio analysis, baskets \& CDOs (Q5493414)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 5066128
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Structured credit portfolio analysis, baskets \& CDOs |
scientific article; zbMATH DE number 5066128 |
Statements
20 October 2006
0 references
credit risk
0 references
portfolio
0 references
hedging
0 references
copula
0 references
Markov chain
0 references
Monte Carlo simulations
0 references
collateralized debt obligations
0 references
default basket
0 references
default probability
0 references
expected loss
0 references
expected shortfall
0 references
0.7925505638122559
0 references
0.7610494494438171
0 references
