Reliable quantification and efficient estimation of credit risk

DOI10.1007/978-1-4471-4926-2_3MaRDI QIDQ2841947zbMATH OpenOpenAlexFDO

Authors Jörn Dunkel, Stefan Weber

Publication date 30 July 2013

Published in EAA Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-1-4471-4926-2_3

Mathematics Subject Classification ID

Credit risk (91G40) Statistical methods; risk measures (91G70)

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Cites work

• Acceleration of Stochastic Approximation by Averaging
• Coherent measures of risk
• DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY
• Expected shortfall and beyond
• scientific article; zbMATH DE number 51379 (Why is no real title available?)
• scientific article; zbMATH DE number 1999206 (Why is no real title available?)
• scientific article; zbMATH DE number 1795843 (Why is no real title available?)
• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• Numerical recipes in C++. The art of scientific computing
• Portfolio Value-at-Risk with Heavy-Tailed Risk Factors
• Risk management: Value at risk and beyond
• Stochastic finance. An introduction in discrete time.
• Stochastic root finding and efficient estimation of convex risk measures

Cited in

(10)

• Evaluation of credit risk based on firm performance
• Credit risk management: a multicriteria approach to assess creditworthiness
• The default risk charge approach to regulatory risk measurement processes
• Stochastic root finding and efficient estimation of convex risk measures
• Utility-based shortfall risk: efficient computations via Monte Carlo
• Recent Advances in Credit Risk Management
• scientific article; zbMATH DE number 1475712 (Why is no real title available?)
• Fast simulations in credit risk
• Credit risk analysis using boosting methods
• Numerical estimates of risk factors contingent on credit ratings

Describes a project that uses

Uses Software

• QRM

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