Hermite approximations in credit portfolio modeling with probability of default-loss given default correlation
Year of publication: |
2015
|
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Authors: | Owen, Anthony David ; Bryers, James ; Buet-Golfouse, Francois |
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. 1-20
|
Subject: | portfolio risk | analytical framework | Hermite polynomials | PD-LGD correlation | Theorie | Theory | Portfolio-Management | Portfolio selection | Kreditrisiko | Credit risk | Korrelation | Correlation |
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