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
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| 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 |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014489156