On the parameterization of the CreditRisk\(^+\) model for estimating credit portfolio risk (Q998291)
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scientific article; zbMATH DE number 5499598
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| English | On the parameterization of the CreditRisk\(^+\) model for estimating credit portfolio risk |
scientific article; zbMATH DE number 5499598 |
Statements
On the parameterization of the CreditRisk\(^+\) model for estimating credit portfolio risk (English)
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28 January 2009
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default correlation
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aggregation
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factorization
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Panjer's recursion
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0.7929592132568359
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0.7760378122329712
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0.7692518830299377
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0.7670125961303711
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