Parameter estimation, bias correction and uncertainty quantification in the Vasicek credit portfolio model
Marius Pfeuffer, Maximilian Nagl, Matthias Fischer and Daniel Rösch
| Year of publication: |
2020
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|---|---|
| Authors: | Pfeuffer, Marius ; Nagl, Maximilian ; Fischer, Matthias ; Rösch, Daniel |
| Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 22.2019/2020, 4, p. 1-30
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| Subject: | asset correlation | Vasicek model | delta method | copula | bias correction | margin of conservatism | Kreditrisiko | Credit risk | Systematischer Fehler | Bias | Portfolio-Management | Portfolio selection | Schätztheorie | Estimation theory | Risikomaß | Risk measure | Multivariate Verteilung | Multivariate distribution | Schätzung | Estimation | Korrelation | Correlation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JOR.2020.429 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012297503