Showing 1 - 3 of 3
Credit risk, associated to borrowers defaulting on their debts, is an ever growing source of concern for lenders. The presence of correlation among defaults may be described by the t-copula model. However, the typically large number of variables involved calls for a simulation approach. A...
Persistent link: https://www.econbiz.de/10011095370
Persistent link: https://www.econbiz.de/10015134056
Persistent link: https://www.econbiz.de/10012299819