Asymptotic behaviour of multivariate default probabilities and default correlations under stress
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Publication:2804413
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Cites work
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Cited in
(12)- Asymptotic analysis of the loss given default in the presence of multivariate regular variation
- On the limit of conditional Spearman's rho under the common factor model
- State dependent correlations in the Vasicek default model
- Stress testing correlation matrix: a maximum empirical likelihood approach
- A limit distribution of credit portfolio losses with low default probabilities
- Modelling default contagion using multivariate phase-type distributions
- CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS
- Confidence intervals for asset correlations in the asymptotic single risk factor model
- Up- and down-correlations in normal variance mixture models
- Moody's correlated binomial default distributions for inhomogeneous portfolios
- Default correlations in the Merton model
- scientific article; zbMATH DE number 2151378 (Why is no real title available?)
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