EFFICIENT RISK MEASURES CALCULATIONS FOR GENERALIZED CREDITRISK+ MODELS

DOI10.1142/S0219024921500126zbMath1466.91365MaRDI QIDQ4994445

Yue Kuen Kwok, Zhenzhen Huang

Publication date: 18 June 2021

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024921500126

zbMATH Keywords

saddlepoint approximation; importance sampling; value-at-risk; expected shortfall; check function; CreditRisk\(^+\) common background vector models; Johnson curve fitting

Mathematics Subject Classification ID

91G70: Statistical methods; risk measures

91G40: Credit risk

Uses Software

• AS 99
• CreditRisk+
• Johnson Curve

Cites Work

• Shortfall as a risk measure: properties, optimization and applications
• CreditRisk\(^+\) in the banking industry.
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• Regression Quantiles
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• CreditRisk⁺Model with Dependent Risk Factors
• Saddlepoint Approximations for Expectations and an Application to CDO Pricing
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• PROPERTIES OF DISTRIBUTIONS RESULTING FROM CERTAIN SIMPLE TRANSFORMATIONS OF THE NORMAL DISTRIBUTION
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