An analytic approach to credit risk of large corporate bond and loan portfolios
Year of publication: |
1999
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Authors: | Lucas, Andr‚ ; Klaassen, Pieter ; Spreij, Peter |
Institutions: | VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics |
Subject: | credit risk | factor model | fat-tailed distributions | skewness | asymptotic analysis |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series Serie Research memoranda / Vrije Universiteit Amsterdam. Faculteit der Economische Wetenschappen en Econometrie Number 0018 |
Classification: | G21 - Banks; Other Depository Institutions; Mortgages ; G33 - Bankruptcy; Liquidation ; G29 - Financial Institutions and Services. Other ; C19 - Econometric and Statistical Methods: General. Other |
Source: |
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