Evaluation of Credit Risk Under Correlated Defaults: The Cross-Entropy Simulation Approach
Year of publication: |
2014-09
|
---|---|
Authors: | Mastroeni, Loretta ; D'Acquisto, Giuseppe ; Naldi, Maurizio |
Institutions: | Dipartimento di Economia, Università degli Studi di Roma 3 |
Subject: | Credit risk | Cross-Entropy | Copula models |
-
The calibration of the IRB supervisory formula : a case study
Casellina, Simone, (2023)
-
The calibration of the IRB supervisory formula: A case study
Casellina, Simone, (2023)
-
Calculating trading book capital : is risk separation appropriate?
Raupach, Peter, (2015)
- More ...
-
Maximum entropy estimator for the predictability of energy commodity market time series
Benedetto, Francesco, (2014)
-
Negligence and sanctions in information security investments in a cloud environment
Naldi, Maurizio, (2018)
-
Impact on retail prices of non-neutral wholesale prices for content providers
D'ACQUISTO, Giuseppe, (2012)
- More ...