Predicting loss distributions for small-size defaulted-debt portfolios using a convolution technique that allows probability masses to occur at boundary points
Chih-Kang Chu, Ruey-Ching Hwang
| Year of publication: |
2019
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|---|---|
| Authors: | Chu, Chih-Kang ; Hwang, Ruey-Ching |
| Published in: |
Journal of financial services research : JFSR. - Dordrecht [u.a.] : Springer Science + Business Media Inc., ISSN 0920-8550, ZDB-ID 1027136-3. - Vol. 56.2019, 1, p. 95-117
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| Subject: | Central limit theorem | Conditional independence | Convolution | Defaulted-debt portfolio | Loss given default distribution | Unconditional distribution | Statistische Verteilung | Statistical distribution | Portfolio-Management | Portfolio selection | Theorie | Theory | Wahrscheinlichkeitsrechnung | Probability theory | Kreditrisiko | Credit risk | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10693-018-0289-6 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012301329