CreditRisk+

swMATH31697MaRDI QIDQ43408FDOQ43408

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Cited In (45)

• Modeling stochastic recovery rates and dependence between default rates and recovery rates within a generalized credit portfolio framework
• Risk measurement for portfolio credit risk based on a mixed Poisson model
• A Credit Risk Modelling Approach to Assess Supplier Default Risk
• Poisson-Gamma mixture processes and applications to premium calculation
• GRAPHICAL MODELS FOR CORRELATED DEFAULTS
• LARGE DEVIATIONS IN MULTIFACTOR PORTFOLIO CREDIT RISK
• A generalization of Panjer's recursion and numerically stable risk aggregation
• A framework to measure integrated risk
• Analytical methods for hedging systematic credit risk with linear factor portfolios
• Capital Allocation for a Sum of Dependent Compound Mixed Poisson Variables: A Recursive Algorithm Approach
• Estimating Sensitivities of Portfolio Credit Risk Using Monte Carlo
• On the sample path properties of mixed Poisson processes
• Credit scoring based on the set-valued identification method
• Preservation of WSAI under default transforms and its application in allocating assets with dependent realizable returns
• Copulas, credit portfolios, and the broken heart syndrome. An interview with David X. Li
• Granularity adjustment for risk measures: systematic vs unsystematic risks
• On loss distributions from installment-repaid loans
• Analysis of default data using hidden Markov models
• Efficient simulation of Lévy-driven point processes
• EFFICIENT RISK MEASURES CALCULATIONS FOR GENERALIZED CREDITRISK+ MODELS
• Dependent defaults and losses with factor copula models
• Modelling small and medium enterprise loan defaults as rare events: the generalized extreme value regression model
• CreditRisk⁺Model with Dependent Risk Factors
• Constructions of copulas with given diagonal (and opposite diagonal) sections and some generalizations
• Computation of credit portfolio loss distribution by a cross entropy method
• Panjer recursion versus FFT for compound distributions
• A class of multivariate copulas with bivariate Fréchet marginal copulas
• Generalized CreditRisk\(^+\) model and applications
• Empirical investigation of insurance claim dependencies using mixture models
• The default risk charge approach to regulatory risk measurement processes
• Comparing the value at risk performance of the CreditRisk\(^+\) and its enhancement: a large deviations approach
• pTAS distributions with application to risk management
• An integrated pricing model for defaultable loans and bonds
• Quantifying the impact of different copulas in a generalized CreditRisk+ framework An empirical study
• Applying importance sampling for estimating coherent credit risk contributions
• Metamodel of a Large Credit Risk Portfolio in the Gaussian Copula Model
• Notes on discrete compound Poisson model with applications to risk theory
• Efficient simulations for a Bernoulli mixture model of portfolio credit risk
• On the parameterization of the CreditRisk\(^+\) model for estimating credit portfolio risk
• Pricing \(k\)th realization derivatives and collateralized debt obligation with multivariate Fréchet copula
• A hybrid heuristic approach to discrete multi-objective optimization of credit portfolios
• Multiscale Intensity Models and Name Grouping for Valuation of Multi-Name Credit Derivatives
• Risk factor analysis and portfolio immunization in the corporate bond market
• An approximation method for risk aggregations and capital allocation rules based on additive risk factor models
• Calibration of the default probability model

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