Efficient risk measures calculations for generalized CreditRisk+ models
Zhenzhen Huang, Yue Kuen Kwok
| Year of publication: |
2021
|
|---|---|
| Authors: | Huang, Zhenzhen ; Kwok, Yue-Kuen |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 24.2021, 2, p. 1-51
|
| Subject: | Value-at-Risk | expected shortfall | CreditRisk+ common background vectormodels | Johnson curve fitting | saddlepoint approximation | importance sampling | check function | Risikomaß | Risk measure | Kreditrisiko | Credit risk | Stichprobenerhebung | Sampling | Schätztheorie | Estimation theory | Portfolio-Management | Portfolio selection | Risikomanagement | Risk management | Messung | Measurement |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024921500126 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012650350