The credit risk^+ model with general sector correlations
From MaRDI portal
Publication:623760
Recommendations
- Comparing the value at risk performance of the CreditRisk\(^+\) and its enhancement: a large deviations approach
- scientific article; zbMATH DE number 2151375
- scientific article; zbMATH DE number 2151378
- Risk management in credit risk portfolios with correlated assets.
- An Introduction to Credit Risk Modeling
Cited in
(13)- Observations on industry practice in the construction of large correlation structures for risk and capital margins
- Sector concentration risk: a model for estimating capital requirements
- Credit rating analysis using adaptive fuzzy rule-based systems: an industry-specific approach
- Confidence intervals for asset correlations in the asymptotic single risk factor model
- Consistent assumptions for modeling credit loss correlations
- scientific article; zbMATH DE number 2151383 (Why is no real title available?)
- Risk management in credit risk portfolios with correlated assets.
- Generalized CreditRisk^+ model and applications
- Estimation of correlations in portfolio credit risk models based on noisy security prices
- Comparing the value at risk performance of the CreditRisk\(^+\) and its enhancement: a large deviations approach
- On the parameterization of the CreditRisk\(^+\) model for estimating credit portfolio risk
- CreditRisk\(^+\) model with dependent risk factors
- scientific article; zbMATH DE number 2151378 (Why is no real title available?)
This page was built for publication: The credit risk\(^{+}\) model with general sector correlations
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q623760)
