Saddlepoint approximations for credit portfolios with stochastic recoveries

Alexander Herbertsson

Year of publication:	August 2022
Authors:	Herbertsson, Alexander
Publisher:	[Göteborg] : Department of Economics, University of Gothenburg
Subject:	portfolio credit risk \| intensity-based models \| factor models \| Value-at-Risk \| conditional independent dependence modelling \| saddlepoint-methods \| Fourier-transform methods \| numerical methods \| Kreditrisiko \| Credit risk \| Portfolio-Management \| Portfolio selection \| Risikomaß \| Risk measure \| Stochastischer Prozess \| Stochastic process \| Risikomanagement \| Risk management \| Faktorenanalyse \| Factor analysis \| Schätztheorie \| Estimation theory

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