Efficient risk measures calculations for generalized CreditRisk^+ models
DOI10.1142/S0219024921500126zbMATH Open1466.91365OpenAlexW3146800181MaRDI QIDQ4994445FDOQ4994445
Authors: Zhenzhen Huang, Yue Kuen Kwok 
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
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expected shortfallimportance samplingsaddlepoint approximationvalue-at-riskcheck functionCreditRisk\(^+\) common background vector modelsJohnson curve fitting
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Cited In (12)
- Credit-Risk Modelling
- Title not available (Why is that?)
- Title not available (Why is that?)
- Efficient computation of Value-at-Risk and Expected Shortfall in large and heterogeneous credit portfolios: application to Default Risk Charge
- Title not available (Why is that?)
- Ellipsoidal buffered area under the curve maximization model with variable selection in credit risk estimation
- Efficient algorithms for calculating risk measures and risk contributions in copula credit risk models
- Generalized CreditRisk\(^+\) model and applications
- Comparing the value at risk performance of the CreditRisk\(^+\) and its enhancement: a large deviations approach
- Reliable quantification and efficient estimation of credit risk
- Efficient simulations for a Bernoulli mixture model of portfolio credit risk
- An approximation method for risk aggregations and capital allocation rules based on additive risk factor models
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