An analytic approach to quantify the sensitivity of CreditRisk+ with respect to its underlying assumptions
Matthias Fischer; Florian Kaufmann
| Year of publication: |
2014
|
|---|---|
| Authors: | Fischer, Matthias ; Kaufmann, Florian |
| Published in: |
The journal of risk model validation. - London : Infopro Digital, ISSN 1753-9579, ZDB-ID 2316764-6. - Vol. 8.2014, 2, p. 23-37
|
| Subject: | Kreditrisiko | Credit risk | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Sensitivitätsanalyse | Sensitivity analysis |
| Extent: | graph. Darst. |
|---|---|
| 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/10010394659