Credit portfolios, credibility theory, and dynamic empirical Bayes

DOI10.5402/2012/832175zbMath1266.91116WikidataQ58692681 ScholiaQ58692681MaRDI QIDQ1952686

Tze Leung Lai

Publication date: 3 June 2013

Published in: ISRN Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.5402/2012/832175

Mathematics Subject Classification ID

91G20: Derivative securities (option pricing, hedging, etc.)

91G10: Portfolio theory

91G40: Credit risk

Uses Software

• cmprsk

Cites Work

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