CreditRisk^+ in the banking industry.

MaRDI QIDQ1883333zbMATH OpenFDO

Authors

Publication date 12 October 2004

Published in Springer Finance (Search for Journal in Brave)

Mathematics Subject Classification ID

Collections of articles of miscellaneous specific interest (00B15) Proceedings, conferences, collections, etc. pertaining to game theory, economics, and finance (91-06)

Cited in

(14)

• scientific article; zbMATH DE number 2151371 (Why is no real title available?)
• scientific article; zbMATH DE number 2151375 (Why is no real title available?)
• Stratified importance sampling for a Bernoulli mixture model of portfolio credit risk
• An improved approach to evaluate default probabilities and default correlations with consistency
• Notes on discrete compound Poisson model with applications to risk theory
• Efficient risk measures calculations for generalized CreditRisk\(^+\) models
• Quantifying the impact of different copulas in a generalized CreditRisk\(^+\) framework. An empirical study
• Modeling stochastic recovery rates and dependence between default rates and recovery rates within a generalized credit portfolio framework
• pTAS distributions with application to risk management
• CreditRisk\(^+\) model with dependent risk factors
• On the Sums of Compound Negative Binomial and Gamma Random Variables
• A generalization of Panjer's recursion and numerically stable risk aggregation
• Compound Poisson approximation to convolutions of compound negative binomial variables
• Poisson-Gamma mixture processes and applications to premium calculation

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