scientific article; zbMATH DE number 2151374

MaRDI QIDQ4660853zbMATH OpenFDO

Authors Hermann Haaf, Oliver Reiß, John Schoenmakers

Publication date 4 April 2005

zbMATH Keywords

complexityPanjer recursion

Mathematics Subject Classification ID

Recommendations

• A generalization of Panjer's recursion and numerically stable risk aggregation
• Efficient risk measures calculations for generalized CreditRisk\(^+\) models
• scientific article; zbMATH DE number 2151386
• scientific article; zbMATH DE number 2151377
• Generalized CreditRisk^+ model and applications

Cited in

(9)

• Modeling stochastic recovery rates and dependence between default rates and recovery rates within a generalized credit portfolio framework
• A generalization of Panjer's recursion and numerically stable risk aggregation
• On the computation of the capital multiplier in the Fortis credit economic capital model
• Efficient computation of Value-at-Risk and Expected Shortfall in large and heterogeneous credit portfolios: application to Default Risk Charge
• scientific article; zbMATH DE number 2151371 (Why is no real title available?)
• scientific article; zbMATH DE number 2151377 (Why is no real title available?)
• Efficient risk measures calculations for generalized CreditRisk\(^+\) models
• Numerical estimates of risk factors contingent on credit ratings
• On the parameterization of the CreditRisk\(^+\) model for estimating credit portfolio risk

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4660853)