Hermite approximations in credit portfolio modeling with probability of default-loss given default correlation
Anthony Owen, James Bryers and Francois Buet-Golfouse
| Year of publication: |
2015
|
|---|---|
| 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 | Portfolio-Management | Portfolio selection | Kreditrisiko | Credit risk | Korrelation | Correlation | Theorie | Theory | Risikomaß | Risk measure | Risikomanagement | Risk management |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011380090