Forecasting and decomposition of portfolio credit risk using macroeconomic and frailty factors
Year of publication: |
2014
|
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Authors: | Lee, Yongwoong ; Poon, Ser-Huang |
Published in: |
Journal of Economic Dynamics and Control. - Elsevier, ISSN 0165-1889. - Vol. 41.2014, C, p. 69-92
|
Publisher: |
Elsevier |
Subject: | Risk contribution | Conditional value-at-risk | Euler capital allocation | Hoeffding decomposition | Default probability |
Type of publication: | Article |
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Classification: | C15 - Statistical Simulation Methods; Monte Carlo Methods ; C32 - Time-Series Models ; C53 - Forecasting and Other Model Applications ; E32 - Business Fluctuations; Cycles ; G17 - Financial Forecasting |
Source: |
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