Forecasting and decomposition of portfolio credit risk using macroeconomic and frailty factors
Year of publication: |
2014
|
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Authors: | Lee, Yong Woong ; Poon, Ser-Huang |
Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 41.2014, p. 69-92
|
Subject: | Risk contribution | Conditional value-at-risk | Euler capital allocation | Hoeffding decomposition | Default probability | Theorie | Theory | Prognoseverfahren | Forecasting model | Kreditrisiko | Credit risk | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Dekompositionsverfahren | Decomposition method |
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