The credit risk\(^{+}\) model with general sector correlations
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Publication:623760
DOI10.1007/s10100-009-0084-4zbMath1204.91134OpenAlexW2110971974MaRDI QIDQ623760
Amogh Deshpande, Srikanth K. Iyer
Publication date: 8 February 2011
Published in: CEJOR. Central European Journal of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10100-009-0084-4
correlationmoment generating functionvalue at riskrisk contributioncompound gamma distributioncredit risk\(^{+}\)portfolio loss distribution
Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)
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