Asymptotic behaviour of multivariate default probabilities and default correlations under stress
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Publication:2804413
DOI10.1017/jpr.2015.9zbMath1345.60032OpenAlexW2300161248MaRDI QIDQ2804413
Michael Kalkbrener, Ludger Overbeck, Natalie Packham
Publication date: 29 April 2016
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.jap/1457470559
asymptoticsfinancial risk managementstress testingmax-domain of attractionelliptic distributioncredit portfolio modelingdefault correlationsmultivariate default probabilities
Extreme value theory; extremal stochastic processes (60G70) Limit theorems in probability theory (60F99) Credit risk (91G40)
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