Concentration Risk in Credit Portfolios

DOI10.1007/978-3-540-70870-4zbMath1153.91005MaRDI QIDQ3528114

Eva Lütkebohmert

Publication date: 6 October 2008

Published in: EAA Lecture Notes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-540-70870-4

zbMATH Keywords

copulas; credit risk; concentration risk; default contagion; Merton model; country concentration; name concentration; single factor models

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

91-02: Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance

91G10: Portfolio theory

91G40: Credit risk