Portfolio credit risk model with extremal dependence of defaults and random recovery
Jong-June Jeon, Sunggon Kim and Yonghee Lee
| Year of publication: |
June 2017
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| Authors: | Jeon, Jong-June ; Kim, Sunggon ; Lee, Yonghee |
| Published in: |
The journal of credit risk : published quarterly by Incisive Media. - London : Infopro Digital, ISSN 1744-6619, ZDB-ID 2170422-3. - Vol. 13.2017, 2, p. 1-31
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| Subject: | portfolio credit risk | random recovery | extreme loss probability | importance sampling | conditional Monte Carlo simulation | Kreditrisiko | Credit risk | Monte-Carlo-Simulation | Monte Carlo simulation | Portfolio-Management | Portfolio selection | Theorie | Theory | Risikomaß | Risk measure | Risikomanagement | Risk management | Stichprobenerhebung | Sampling | Wahrscheinlichkeitsrechnung | Probability theory | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCR.2017.222 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011777675