A limit distribution of credit portfolio losses with low default probabilities
Xiaojun Shi, Qihe Tang, Zhongyi Yuan
| Year of publication: |
March 2017
|
|---|---|
| Authors: | Shi, Xiaojun ; Tang, Qihe ; Yuan, Zhongyi |
| Published in: |
Insurance. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 73.2017, p. 156-167
|
| Subject: | Credit portfolio loss | Extreme risk | Limit distribution | Loss given default | Model risk | Multivariate regular variation | Tail dependence | Kreditrisiko | Credit risk | Statistische Verteilung | Statistical distribution | Theorie | Theory | Portfolio-Management | Portfolio selection | Wahrscheinlichkeitsrechnung | Probability theory | Risikomaß | Risk measure | Risikomanagement | Risk management | Insolvenz | Insolvency | Risiko | Risk | Verlust | Loss |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2017.02.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011702063