A generalised latent Poisson factor modelling approach for default correlations in credit portfolios

Mohamed Saidane

Year of publication:	2023
Authors:	Saidane, Mohamed
Published in:	Journal of risk management in financial institutions. - London : Henry Stewart Publ., ISSN 1752-8887, ZDB-ID 2416788-5. - Vol. 17.2023, 1, p. 89-105
Subject:	credit value-at-risk \| default correlation \| expectation-maximisation algorithm \| expected shortfall \| factor analysis \| generalised linear models \| Kreditrisiko \| Credit risk \| Korrelation \| Correlation \| Risikomaß \| Risk measure \| Faktorenanalyse \| Factor analysis \| Portfolio-Management \| Portfolio selection \| Theorie \| Theory \| Algorithmus \| Algorithm

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