Reliable Quantification and Efficient Estimation of Credit Risk

DOI10.1007/978-1-4471-4926-2_3zbMath1386.91153OpenAlexW14987699MaRDI QIDQ2841947

Jörn Dunkel, Stefan Weber

Publication date: 30 July 2013

Published in: EAA Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-1-4471-4926-2_3

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Credit risk (91G40)

Uses Software

• QRM

Cites Work

• Coherent Measures of Risk
• Stochastic Finance
• Stochastic Root Finding and Efficient Estimation of Convex Risk Measures
• Acceleration of Stochastic Approximation by Averaging
• Portfolio Value-at-Risk with Heavy-Tailed Risk Factors
• DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY
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