A dynamic binomial expansion technique for credit risk measurement: a Bayesian filtering approach
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Publication:4673736
DOI10.1080/13504860410001682669zbMath1106.91053OpenAlexW2004840606MaRDI QIDQ4673736
Publication date: 9 May 2005
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/13504860410001682669
value at risk (VaR)default probabilitiescredit risk measurementBayesian filtering methodbinomial expansion technique (BET)
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