Forecasting and decomposition of portfolio credit risk using macroeconomic and frailty factors
Yongwoong Lee; Ser-Huang Poon
| Year of publication: |
2014
|
|---|---|
| Authors: | Lee, Yong Woong ; Poon, Ser-Huang |
| Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 41.2014, p. 69-92
|
| Subject: | Risk contribution | Conditional value-at-risk | Euler capital allocation | Hoeffding decomposition | Default probability | Kreditrisiko | Credit risk | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Theorie | Theory | Prognoseverfahren | Forecasting model | Dekompositionsverfahren | Decomposition method | Risiko | Risk | Schätzung | Estimation | Risikomanagement | Risk management |
| 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/10010425019