Loss distributions : computational efficiency in an extended framework
Year of publication: |
December 2015
|
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Authors: | Stahl, Daniel H. |
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, 4, p. 29-42
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Subject: | CreditRisk | mixture models | credit portfolio | Fourier inversion | Loss distribution | Theorie | Theory | Kreditrisiko | Credit risk | Statistische Verteilung | Statistical distribution | Portfolio-Management | Portfolio selection | Verlust | Loss |
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