The crash-NIG factor model

DOI10.1007/S13385-013-0073-9zbMATH Open1304.91233OpenAlexW2234374007MaRDI QIDQ487572FDOQ487572

R. Zagst, Anna Schlösser

Publication date: 22 January 2015

Published in: European Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13385-013-0073-9

zbMATH Keywords

copularegime-switchinghidden Markov modelCDOdefault probabilityeconomic scenario generationfactor model correlationportfolio loss

Mathematics Subject Classification ID

Portfolio theory (91G10) Credit risk (91G40)

Cites Work

• Continuous-time Markov chains. An applications-oriented approach
• Title not available (Why is that?)

Cited In (1)

• State dependent correlations in the Vasicek default model

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