The loss given default of a low-default portfolio with weak contagion
Li Wei, Zhongyi Yuan
| Year of publication: |
2016
|
|---|---|
| Authors: | Wei, Li ; Yuan, Zhongyi |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 66.2016, p. 113-123
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| Subject: | Asymptotic analysis | Asymptotic (in)dependence | Credit contagion | Default probability | Loss given default | Low-default portfolio | Risk measure | Sarmanov distribution | Kreditrisiko | Credit risk | Portfolio-Management | Portfolio selection | Basler Akkord | Basel Accord | Theorie | Theory | Risikomaß | Kreditgeschäft | Bank lending | Statistische Verteilung | Statistical distribution | Insolvenz | Insolvency | Ansteckungseffekt | Contagion effect | Wahrscheinlichkeitsrechnung | Probability theory | Risikomanagement | Risk management |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2015.10.005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011442721