Credit risk : taking fluctuating asset correlations into account
Year of publication: |
2015
|
---|---|
Authors: | Schmitt, Thilo A. ; Schäfer, Rudi ; Guhr, Thomas |
Published in: |
The journal of credit risk : published quarterly by Incisive Media. - London : Infopro Digital, ISSN 1744-6619, ZDB-ID 2170422-3. - Vol. 11.2015, 3, p. 73-94
|
Subject: | nonstationarity | random matrix theory | Merton model | value-at-risk | Theorie | Theory | Kreditrisiko | Credit risk | Risikomaß | Risk measure | Korrelation | Correlation | Portfolio-Management | Portfolio selection |
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