The loss given default of a low-default portfolio with weak contagion
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Publication:903339
DOI10.1016/j.insmatheco.2015.10.005zbMath1348.91187MaRDI QIDQ903339
Publication date: 5 January 2016
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.10.005
asymptotic analysis; risk measure; default probability; Sarmanov distribution; loss given default; credit contagion; asymptotic (in)dependence; low-default portfolio
62E20: Asymptotic distribution theory in statistics
62P05: Applications of statistics to actuarial sciences and financial mathematics
62H05: Characterization and structure theory for multivariate probability distributions; copulas
91G40: Credit risk
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