Predicting loss distributions for small-size defaulted-debt portfolios using a convolution technique that allows probability masses to occur at boundary points
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 | Theorie | Theory | Statistische Verteilung | Statistical distribution | Portfolio-Management | Portfolio selection | Kreditrisiko | Credit risk | Wahrscheinlichkeitsrechnung | Probability theory | Prognoseverfahren | Forecasting model |
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