Modeling dependent risk factors with CreditRisk+
Xiaohang Zhang, SuBang Choe, Ji Zhu and Jill Bewick
| Year of publication: |
June 2018
|
|---|---|
| Authors: | Zhang, Xiaohang ; Choe, SuBang ; Zhu, Ji ; Bewick, Jill |
| Published in: |
The journal of credit risk : published quarterly by Incisive Media. - London : Infopro Digital, ISSN 1744-6619, ZDB-ID 2170422-3. - Vol. 14.2018, 2, p. 29-43
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| Subject: | credit portfolio risk | CreditRisk+ | model | dependent structure | risk factors | mixed vector model | Kreditrisiko | Credit risk | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Theorie | Theory | Risiko | Risk | Risikomanagement | Risk management |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCR.2017.235 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011917573