CreditRisk^+ in the banking industry.

zbMATH Open1046.91001MaRDI QIDQ1883333FDOQ1883333

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)

• 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
• Compound Poisson approximation to convolutions of compound negative binomial variables
• Poisson-Gamma mixture processes and applications to premium calculation
• A generalization of Panjer's recursion and numerically stable risk aggregation
• Title not available (Why is that?)
• Title not available (Why is that?)
• On the Sums of Compound Negative Binomial and Gamma Random Variables
• pTAS distributions with application to risk management
• Notes on discrete compound Poisson model with applications to risk theory
• Stratified importance sampling for a Bernoulli mixture model of portfolio credit risk
• Efficient risk measures calculations for generalized CreditRisk\(^+\) models
• CreditRisk\(^+\) model with dependent risk factors
• An improved approach to evaluate default probabilities and default correlations with consistency

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