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Comparing alternatives for a simultaneous incorporation of intra and inter correlations into the credit portfolio loss distribution within the asymptotic single risk factor (ASRF) model and showing that the resulting distribution depends on the type of a dominant correlation: whether it is of...
Persistent link: https://www.econbiz.de/10013084226
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Developing a closed-form integral Vasicek representation of loss distribution for non-uniform credit portfolio (i.e. with varying PDs and structured correlations), which i) is non-iterative and computationally fast as opposed to standard Monte-Carlo, and ii) enables efficient analytic estimators...
Persistent link: https://www.econbiz.de/10013056787