Fast approximation methods for credit portfolio risk calculations

Kevin Jakob, Johannes Churt, Matthias Fischer, Kim Nolte, Yarema Okhrin, Dirk Sondermann, Stefan Wilke, Thomas Worbs

Year of publication:	2023
Authors:	Jakob, Kevin ; Churt, Johannes ; Fischer, Matthias ; Nolte, Kim ; Okhrin, Yarema ; Sondermann, Dirk ; Wilke, Stefan ; Worbs, Thomas
Published in:	Digital finance : smart data analytics, investment innovation, and financial technology. - [Cham] : Springer Nature Switzerland AG, ISSN 2524-6186, ZDB-ID 2947479-6. - Vol. 5.2023, 3/4, p. 689-716
Subject:	AI \| Approximation \| Credit portfolio model \| Credit risk \| Kreditrisiko \| Portfolio-Management \| Portfolio selection \| Theorie \| Theory \| Risikomaß \| Risk measure \| Risikomanagement \| Risk management

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